Related papers: Financial rogue waves
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
We study on dynamics of high-order rogue wave in two-component coupled nonlinear Schr\"{o}dinger equations. We find four fundamental rogue waves can emerge for second-order vector RW in the coupled system, in contrast to the high-order ones…
We report new rogue wave patterns in the nonlinear Schr\"{o}dinger equation. These patterns include heart-shaped structures, fan-shaped sectors, and many others, that are formed by individual Peregrine waves. They appear when multiple…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
We demonstrate a way to generate a two-dimensional rogue waves in two types of broad area nonlinear optical systems subject to time-delayed feedback: in the generic Lugiato-Lefever model and in model of a broad-area surface-emitting laser…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Non-deterministic giant waves, denoted as rogue, killer, monster or freak waves, have been reported in many different branches of physics. Their origin is however still unknown: despite the massive numerical and experimental evidence, the…
We propose to construct a temporary wave on the surface of the ocean, as a particular solution of the Saint-Venant equations with a source term involving the friction, whose shape is expected to mimic a rogue wave.
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
We construct a family of explicit rotational solutions to the nonlinear governing equations for water waves, describing edge waves propagating over a plane-sloping beach. A detailed analysis of the edge wave dynamics and of the run-up…
A nonlinear Schr\"odinger equation with repulsive (defocusing) nonlinearity is considered. As an example, a system with a spatially varying coefficient of the nonlinear term is studied. The nonlinearity is chosen to be repelling except on a…
The issue of a recurrence of the modulationally unstable water wave trains within the framework of the fully nonlinear potential Euler equations is addressed. It is examined, in particular, if a modulation which appears from nowhere (i.e.,…
We construct higher order rogue wave solutions for the Gerdjikov-Ivanov equation explicitly in term of determinant expression. Dynamics of both soliton and non-soliton solutions is discussed. A family of solutions with distinct structures…
A rogue wave formation mechanism is proposed within the framework of a coupled nonlinear Schrodinger (CNLS) system corresponding to the interaction of two waves propagating in oblique directions in deep water. A rogue condition is…
The double-periodic solutions of the focusing nonlinear Schrodinger equation have been previously obtained by the method of separation of variables. We construct these solutions by using an algebraic method with two eigenvalues.…
In optical non-linear processes rogue waves can be observed, which can be mathematically described by heavy-tailed distributions. These distributions are special due to the fact that the probability of registering extremely high intensities…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
Turbulence in a system of nonlinearly interacting waves is referred to as wave turbulence. It has been known since seminal work by Kolmogorov, that turbulent dynamics is controlled by a directional energy flux through the wavelength scales.…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…