Related papers: On a Boltzmann type price formation model
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows.…
The problem of energy conservation in the lattice Boltzmann method is solved. A novel model with energy conservation is derived from Boltzmann's kinetic theory. It is demonstrated that the full thermo-hydrodynamics pertinent to the…
We use a lattice Boltzmann method to study pattern formation in chemically reactive binary fluids in the regime where hydrodynamic effects are important. The coupled equations solved by the method are a Cahn-Hilliard equation, modified by…
It is known that the price of call options in the Heston model is determined in a non-unique way. In this paper, this problem is analyzed from the point of view of the existing mathematical theory of uniqueness classes for degenerate…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
The study of formations and dynamics of opinions leading to the so called opinion consensus is one of the most important areas in mathematical modeling of social sciences. Following the Boltzmann type control recently introduced in [G.…
In this work, we proposed a diffuse interface model for the dendritic growth with thermosolutal convection. In this model, the sharp boundary between the fluid and solid dendrite is replaced by a thin but nonzero thickness diffuse…
Boundary effects are central to the dynamics of the dilute particles governed by Boltzmann equation. In this paper, we study both the diffuse reflection and the specular reflection boundary value problems for Boltzmann equation with soft…
The tatonnement process in high frequency order driven markets is modeled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A…
A new lattice Boltzmann (LB) model is introduced, based on a regularization of the pre-collision distribution functions in terms of the local density, velocity, and momentum flux tensor. The model dramatically improves the precision and…
In the last decade, stochastic models have shown to be very useful for quantitative modelling of social processes. Here, a configurational master equation for the description of behavioral changes by pair interactions of individuals is…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…
The objective is to provide an Al\`os type decomposition formula of call option prices for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility model driven by a subordinator without drift. Al\`os…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock…
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to…
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a…
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equation and describes a time evolution of livestock commodities…
We study a dynamical system defined by a repeated game on a 1D lattice, in which the players keep track of their gross payoffs over time in a bank. Strategy updates are governed by a Boltzmann distribution which depends on the neighborhood…
In this paper, we study the spontaneous Lorentz symmetry breaking for a four-dimensional massless four-fermion model. Our methodology is based on use of the rationalized propagator. We show that a bumblebee potential arises as a result of…