Related papers: Financial rogue waves
The rogue wave solutions (rational multi-breathers) of the nonlinear Schrodinger equation (NLS) are tested in numerical simulations of weakly nonlinear and fully nonlinear hydrodynamic equations. Only the lowest order solutions from 1 to 5…
We explore extreme event occurrence in the integrable turbulence with self-similar asymptotics. We posit that rogue waves in such systems manifest themselves as giant fluctuations away from average self-similar dynamics of the system. We…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
In this work we present a further analytical development and a numerical implementation of the recently suggested theoretical model for highly nonlinear potential long-crested water waves, where weak three-dimensional effects are included…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
This work presents an analysis of ocean wave data including rogue waves. A stochastic approach based on the theory of Markov processes is applied. With this analysis we achieve a characterization of the scale dependent complexity of ocean…
An overdense plasma layer irradiated by an intense light can exhibit dramatic nonlinear-optical effects due to a relativistic mass-effect of free electrons: highly-multiple hysteresises of reflection and transition, and emergence of…
Computational efficiency is essential for enhancing the accuracy and practicality of pricing complex financial derivatives. In this paper, we discuss Isogeometric Analysis (IGA) for valuing financial derivatives, modeled by two nonlinear…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes option pricing model is one of the most widely used models by…
Optical rogue waves are demonstrated in the far-field scattered radiation from photonic arrays designed according to the aperiodic distributions of prime elements in complex quadratic fields. Specifically, by studying light diffraction from…
We construct rogue wave solutions of a fifth-order nonlinear Schr\"odinger equation on the Jacobian elliptic function background. By combining Darboux transformation and the nonlinearization of spectral problem, we generate rogue wave…
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…
The Black-Scholes framework is crucial in pricing a vast number of financial instruments that permeate the complex dynamics of world markets. Associated with this framework, we consider a second-order differential operator $L(x,…
In this paper we show how solutions of the Kadomtsev-Petviashvili equation may be used to explain the shape and behavior of large and rogue waves.
Modulation instability in a nonlinear optical waveguide array with alternating positive and negative refractive indices is investigated analytically. Particular solutions of a system of coupled nonlinear equations are found. These solutions…
The issue of rogue wave lifetimes is addressed in this study, which helps to detail the general picture of this dangerous oceanic phenomenon. The direct numerical simulations of irregular wave ensembles are performed to obtain the complete…
The Fokas-Lenells (FL) equation arises as a model eqution which describes for nonlinear pulse propagation in optical fibers by retaining terms up to the next leading asymptotic order (in the leading asymptotic order the nonlinear…
We consider a two-level atomic system, interacting with an electromagnetic field controlled in amplitude and frequency by a high intensity laser. We show that the amplitude of the induced electric field, admits an envelope profile…