Related papers: D-Brane solutions under market panic
We investigate the dynamics of a flat isotropic brane Universe with two-component matter source: perfect fluid with the equation of state $p=(\gamma-1) \rho$ and a scalar field with a power-law potential $V \sim \phi^{\alpha}$. The index…
We consider a 5-D gravity plus a bulk scalar field, and with a 3-brane. The Darboux transformation is used to construct some exact solutions. To do this we reduce the system of equations, which describes the 5-D gravity and bulk scalar…
We consider brane cosmology when the 4D Ricci scalar term is added to the 5D Einstein-Hilbert action and discuss the role that the addition of this term has on the brane-bulk system. The induced brane dynamics is shown to be the usual…
The self-tuning brane scenario is an attempt to solve the cosmological constant problem in the context of extra dimensions. Rather than making the vacuum energy small, this approach proceeds by removing the gravitational effect of vacuum…
5d dilatonic gravity (bosonic sector of gauged supergravity) with non-trivial bulk potential and with surface terms (boundary cosmological constant and trace anomaly induced effective action for brane quantum matter) is considered. For…
This study presents a long-term alternative formula for stock price variation described by a geometric Brownian motion on the basis of median instead of mean or expected values. The proposed method is motivated by the observation made in…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…
We consider linearized 5-d gravity in the Randall-Sundrum brane world. The class of static solutions for linearized Einstein equations is found. Also we obtaine wave solutions describing radiation from an imaginary point source located at…
We discuss the computation of the leading corrections to D-brane solutions due to higher derivative terms in the corresponding low energy effective action. We develop several alternative methods for analyzing the problem. In particular, we…
The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and min-max…
In this article we extend previous work by the authors, and elaborate further on the structure of the general solution to the graviton and dilaton equations of motion in brane world scenaria, in the context of five-dimensional effective…
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…
In brane world scenarios with a bulk scalar field between two branes it is known that 4-dimensional Einstein gravity is restored at low energies on either brane. By using a gauge-invariant gravitational and scalar perturbation formalism we…
Asymmetric brane worlds with dS expansion and static double kink topology are obtained from a recently proposed method and their properties are analyzed. These domain walls interpolate between two spacetimes with different cosmological…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Using a confining potential, we consider spherically symmetric vacuum (static black hole) solutions in a brane-world scenario. Working with a constant curvature bulk, two interesting cases/solutions are studied. A Schwarzschild-de Sitter…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
We propose and discuss some toy models of stock markets using the same operatorial approach adopted in quantum mechanics. Our models are suggested by the discrete nature of the number of shares and of the cash which are exchanged in a real…