Related papers: Interest rate models and Whittaker functions
In this work we study the cosmological attractor models of inflation in connection with certain scalar-tensor theories of gravity, e.g $f(R)$ gravity and Brans-Dicke theory. For some particular choices of the functional degrees of freedom…
We introduce an algebraic methodology for designing exactly-solvable Lie model Hamiltonians. The idea consists in looking at the algebra generated by bond operators. We illustrate how this method can be applied to solve numerous problems of…
The coupled dynamics of low lying modes and various giant resonances are studied with the help of the Wigner Function Moments method generalized to take into account spin degrees of freedom and pair correlations simultaneously. The method…
Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case of ambiguity, we characterize it by applying the…
Reconstruction of density functions and their characteristic functions by radial basis functions with scattered data points is a popular topic in the theory of pricing of basket options. Such functions are usually entire or admit an…
We study certain physical observables of isoscalar heavy baryons using potential models based on hadronic degrees of freedom. The goal is to compare these results with those from an effective theory obtained in a combined heavy quark and…
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical…
A model for the radial distribution function $g(r)$ of a square-well fluid of variable width previously proposed [S. B. Yuste and A. Santos, J. Chem. Phys. {\bf 101}, 2355 (1994)] is revisited and simplified. The model provides an explicit…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
Introducing the fermionic R-operator and solutions of the inverse scattering problem for local fermion operators, we derive a multiple integral representation for zero-temperature correlation functions of a one-dimensional interacting…
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and…
A reformulation of inflationary model analyses appeared recently, in which inflationary observables are determined by the structure of a pole in the inflaton kinetic term rather than the shape of the inflaton potential. We comprehensively…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We investigate the recently proposed clockwork mechanism delivering light degrees of freedom with suppressed interactions and show, with various examples, that it can be efficiently implemented in inflationary scenarios to generate flat…
We associate to each unit volume lattice of $\R^d$ the Ising model with bond variables equal to the inverse successive minima of that lattice. This induces the notion of a critical temperature for a random lattice for which integrability…
Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…
We investigate the one-dimensional Hubbard model with an additional bond-charge interaction, recently considered in the description of compounds that exhibit strong 1D features above the temperature of ordered phases. The partition function…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
A data-driven approach to calculating tight-binding models for discrete coupled-mode systems is presented. Specifically, spectral and topological data is used to build an appropriate discrete model that accurately replicates these…