Related papers: Financial rogue waves
Ocean rogue waves (RW) -huge solitary waves- have for long triggered the interest of scientists. RWs emerge in a complex environment and it is still dubious the importance of linear versus nonlinear processes. Recent works have demonstrated…
In multi-component systems, several rogue waves can be simultaneously excited using simple initial conditions in the form of a plane wave with a small amplitude single-peak perturbation. This is in drastic contrast with the case of…
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii)…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
Freak waves, or rogue waves, are one of the fascinating manifestations of the strength of nature. These devastating walls of water appear from nowhere, are short-lived and extremely rare. Despite the large amount of research activities on…
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underlying asset price and the Gamma of the option. We propose a…
Over the past decade, the rogue wave debate has stimulated the comparison of predictions and observations among different branches of wave physics, particularly between hydrodynamics and optics, in situations where analogous dynamical…
We present elliptic-rogue wave solutions for integrable nonlinear soliton equations in theta functions. Unlike solutions generated on the plane wave background, these solutions depict rogue waves emerging on elliptic function backgrounds.…
We derive the rogue wave solution of the classical massive Thirring model, that describes nonlinear optical pulse propagation in Bragg gratings. Combining electromagnetically induced transparency with Bragg scattering four-wave mixing, may…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
We consider instability and localized patterns arising from long wave-short wave (LWSW) resonance in the non-integrable regime numerically. We study the stability and instability of elliptic-function periodic waves with respect to…
In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large deviations methods, assuming local volatility dynamics for all…
We present a brief discussion on the nonlinear Schr{\"o}dinger equation for modeling the propagation of the deep-water wavetrains and a discussion on its doubly-localized breather solutions that can be connected to the sudden formation of…
Rogue waves are solitary waves with extreme amplitudes, which appear to be a ubiquitous phenomenon in nonlinear wave propagation, with the requirement for a nonlinearity being their only unifying characteristics. While many mechanisms have…
In this paper, we revisit the inverse Black-Scholes model, the existence of the solution is proved in more rigorous way, and the empirical study is done using different approach based on finite element method. The article leads to a measure…
In this Chapter, we review key theoretical and experimental advances in the study of extreme nonlinear wave events, called rogue waves (RWs), in both single-component attractively interacting and two-component repulsive mixtures of…
In this paper, we present a novel approach for the prediction of rogue waves in oceans using statistical machine learning methods. Since the ocean is composed of many wave systems, the change from a bimodal or multimodal directional…
The evolution of unidirectional nonlinear sea surface waves is calculated numerically by means of solutions of the Euler equations. The wave dynamics corresponds to quasi-equilibrium states characterized by JONSWAP spectra. The…
The derivative nonlinear Schrodinger (DNLS) equation is the canonical model for dynamics of nonlinear waves in plasma physics and optics. We study exact solutions describing rogue waves on the background of periodic standing waves in the…
The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus…