Related papers: New Financial Research Program: General Option-Pri…
This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf. Hale and Townsend 2014a), to pricing/hedging European-type, early-exercise and discrete-monitored barrier options under a…
The nonlinear Schr\"odinger equation (NLSE) models the slowly varying envelope dynamics of a weakly nonlinear quasi-monochromatic wave packet in dispersive media. In the context of Bose-Einstein condensate (BEC), it is often referred to as…
Replacing Black-Scholes' driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the occurrence of arbitrage when implemented…
We apply common gravitational wave inference procedures on binary black hole merger waveforms beyond general relativity. We consider dynamical Chern-Simons gravity, a modified theory of gravity with origins in string theory and loop quantum…
We develop a modified semi-classical approach to the approximate solution of Schrodinger's equation for certain nonlinear quantum oscillations problems. At lowest order, the Hamilton-Jacobi equation of the conventional semi-classical…
In this work, we investigate the existence and orbital (in)stability of several branches of standing--wave solutions for the cubic nonlinear Schr\"odinger equation (NLS) posed on a looping--edge graph $\mathcal{G}$, consisting of a circle…
During the past decades the study of strongly interacting fluids experienced a tremendous progress. In the relativistic heavy ion accelerators, specially the RHIC and LHC colliders, it became possible to study not only fluids made of…
This study proposes a novel hybrid deep learning framework that integrates a Large Language Model (LLM) with a Transformer architecture for stock price forecasting. The research addresses a critical theoretical gap in existing approaches…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…
We study artificial neural networks with nonlinear waves as a computing reservoir. We discuss universality and the conditions to learn a dataset in terms of output channels and nonlinearity. A feed-forward three-layer model, with an…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…
The Helmholtz equation poses significant computational challenges due to its oscillatory solutions, particularly for large wavenumbers. Inspired by the Schur complement system for elliptic problems, this paper presents a novel…
This paper presents a new numerical model based on the highly nonlinear potential flow theory for simulating the propagation of water waves in variable depth. A new set of equations for estimating the surface vertical velocity is derived…
In this paper we focus on qualitative properties of solutions to a nonlocal nonlinear partial integro-differential equation (PIDE). Using the theory of abstract semilinear parabolic equations we prove existence and uniqueness of a solution…
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
In this paper we present a general framework for solving the stationary nonlinear Schr\"odinger equation (NLSE) on a network of one-dimensional wires modelled by a metric graph with suitable matching conditions at the vertices. A formal…
In this work, we systematically generalize the Evans function methodology to address vector systems of discrete equations. We physically motivate and mathematically use as our case example a vector form of the discrete nonlinear Schrodinger…