Related papers: Financial rogue waves
Rogue wave patterns in the nonlinear Schr\"{o}dinger (NLS) equation and the derivative NLS equation are analytically studied. It is shown that when the free parameters in the analytical expressions of these rogue waves are large, these…
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations.…
We show experimentally that a stable wave propagating into a region characterized by an opposite current may become modulationaly unstable. Experiments have been performed in two independent wave tank facilities; both of them are equipped…
We report the first observation of extreme wave events (rogue waves) in parametrically driven capillary waves. Rogue waves are observed above a certain threshold in forcing. Above this threshold, frequency spectra broaden and develop…
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
The analytical nonautonomous rogons are reported for the inhomogeneous nonlinear Schr\"odinger equation with variable coefficients in terms of rational-like functions by using the similarity transformation and direct ansatz. These obtained…
General higher order rogue waves of a vector nonlinear Schrodinger equation (Manakov system) are derived using a Darboux-dressing transformation with an asymptotic expansion method. The Nth order semi-rational solutions containing 3N free…
Prediction is a central goal and a yet-unresolved challenge in the investigation of oceanic rogue waves. Here we define a horizon of predictability for oceanic rogue waves and derive, via extensive computational experiments, the first…
The numerical simulation of the nonlinear dynamics of random sea waves at moderately small Benjamin-Feir indices and its comparison with the linear dynamics (at the coincidence of spatial Fourier harmonics near a spectral peak at a certain…
We study on the relations between modulational instability and several well-known nonlinear excitations in a nonlinear fiber, such as bright soliton, nonlinear continuous wave, Akhmediev breather, Peregrine rogue wave, and Kuznetsov-Ma…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
General rogue waves in the Davey-Stewartson-I equation are derived by the bilinear method. It is shown that the simplest (fundamental) rogue waves are line rogue waves which arise from the constant background with a line profile and then…
We introduce a novel family of analytic solutions of the three-wave resonant interaction equations to the purpose of modeling unique events, i.e. "amplitude peaks" which are isolated in space and time. The description of these solutions is…
General rogue waves in the Davey-Stewartson-II equation are derived by the bilinear method, and the solutions are given through determinants. It is shown that the simplest (fundamental) rogue waves are line rogue waves which arise from the…
General high-order rogue waves in the nonlinear Schroedinger equation are derived by the bilinear method. These rogue waves are given in terms of determinants whose matrix elements have simple algebraic expressions. It is shown that the…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…
The authors of a recent Letter ([1] M. Onorato, D. Proment, and A. Toffoli, Phys. Rev. Lett. 107, 184502 (2011)) based their study of rogue waves in nonuniform currents on a modified nonlinear Schr\"odinger equation (NLSE; see Eq.(1) in…
We study discrete rogue waves in an array of nonlinear waveguides. We show that very small degree of disorder due to experimental imperfection has a deep effect on the formation of discrete rogue waves. We predict long-living discrete rogue…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…