Related papers: Relativistic Black-Scholes model
The negative mode of the Schwarzschild black hole is central to Euclidean quantum gravity around hot flat space and for the Gregory-Laflamme black string instability. Numerous gauges were employed in the past to analyze it. Here _the_…
Taking advantage of the representation of dilatonic gravity with the $R^2$-term under the form of low-derivative dilatonic gravity coupled to an additional scalar, we construct a general renormalizable model motivated by this theory. Exact…
Classical (It\^o diffusions) stochastic volatility models are not able to capture the steepness of small-maturity implied volatility smiles. Jumps, in particular exponential L\'evy and affine models, which exhibit small-maturity exploding…
Using a Lagrangian formalism we establish a relationship between the (n + D + d) dimensional cosmology, black-holes and the Polyakov action for strings. Specifically, we identify these physical scenarios as part of a 2-dimensional metric,…
From the dynamics of a broad class of classical mean-field glass models one may obtain a quantum model with finite zero-temperature entropy, a quantum transition at zero temperature, and a time-reparametrization (quasi-)invariance in the…
Considering a generalised action for Einstein Maxwell theory in four dimensions coupled to scalar and pseudo-scalar fields, the thermodynamic properties of asymptotically flat black holes solutions in such a background are investigated.…
The thermodynamics of black holes is shown to be directly induced by their near-horizon conformal invariance. This behavior is exhibited using a scalar field as a probe of the black hole gravitational background, for a general class of…
In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to obtain approximate expression for…
We present a method which allows to deform extremal black hole solutions into non-extremal solutions, for a large class of supersymmetric and non-supersymmetric Einstein-Vector-Scalar type theories. The deformation is shown to be largely…
Relativistic effects in the thermodynamical properties of interacting particle systems are investigated within the framework of the relativistic direct interaction theory in various forms of dynamics. In the front form of relativistic…
Invariance properties of classes in the variational sequence suggested to Krupka et al. the idea that there should exist a close correspondence between the notions of variationality of a differential form and invariance of its exterior…
We derive a new analytic solution of $(n+1)$-dimensional Brans-Dikce-Maxwell theory in the presence of a potential for the scalar field, by applying a conformal transformation to the dilaton gravity theory. These solutions describe…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
The Black-Scholes model anticipates rather well the observed prices for options in the case of a strike price that is not too far from the current price of the underlying asset. Some useful extensions can be obtained by an adequate…
Black holes appear as vacuum solutions of classical general relativity which depend on Newton's constant and possibly the cosmological constant. At the level of a quantum field theory, these coupling constants typically acquire a…
We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No knowledge of stochastic calculus or partial differential…
In this work, we derive a new class of charged black holes by introducing Dunkl derivatives in the four dimensional spacetime. To construct such solutions, we first compute the Ricci tensor and the Ricci scalar using the Christoffel…
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and…
Spatial and/or temporal propagation of light waves in periodic optical structures offers a rather unique possibility to realize in a purely classical setting the optical analogues of a wide variety of quantum phenomena rooted in…