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In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is…
We propose a mesoscopic modeling framework for optimal transportation networks with biological applications. The network is described in terms of a joint probability measure on the phase space of tensor-valued conductivity and position in…
We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the underlying asset dynamics and the early exercise premium…
We give a general existence and convergence result for interacting particle systems on locally finite graphs with possibly unbounded degrees or jump rates. We allow the local state space to be Polish, and the jumps at a site to affect the…
We introduce an energy-based model, which seems especially suited for constrained systems. The proposed model provides an alternative to the popular port-Hamiltonian framework and exhibits similar properties such as energy dissipation as…
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…
With the use of thermodynamics and general equilibrium conditions only, we study the entropy of a fluid in the vicinity of the critical point of the liquid-vapor phase transition. By assuming a general form for the coexistence curve in the…
Despite significant advancements in machine learning for derivative pricing, the efficient and accurate valuation of American options remains a persistent challenge due to complex exercise boundaries, near-expiry behavior, and intricate…
Gold-capped Janus particles immersed in a near-critical binary mixture can be propelled using illumination. We employ a non-isothermal diffuse interface approach to investigate the self-propulsion mechanism of a single colloid. We attribute…
The two-point correlation function of energy levels for free motion on the modular domain, both with periodic and Dirichlet boundary conditions, are explicitly computed using a generalization of the Hardy-Littlewood method. It is shown that…
Using a combination of molecular dynamics simulations and fundamental statistical mechanics, we analyze the position and velocity distribution of a trapped ion immersed in two ideal gases at differing temperatures. Such a system has been…
Microscopic models of electronic subsystems with orbital degeneracy of energy states and non-diagonal matrix elements of electron interactions (correlated hopping) are considered within the configuration-operator approach. Equations for…
We consider two particles performing continuous-time nearest neighbor random walk on $\mathbb Z$ and interacting with each other when they are at neighboring positions. Typical examples are two particles in the partial exclusion process or…
In this paper we derive Kl\"umper-Batchelor-Pearce-Destri-de Vega type nonlinear integral equations for describing the thermodynamics in the sine-Gordon model, when a chemical potential coupled to the topological charge is also present in…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
We extend the principles of information thermodynamics to study energy and information exchanges between coupled systems composed of one part undergoing a Markov jump process and another underdamped diffusion. We derive integral fluctuation…
We numerically investigate the erosion potential of a cavitating liquid jet by means of high-resolution finite volume simulations. As thermodynamic model, we employ a barotropic equilibrium cavitation approach, embedded into a homogeneous…
In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic differential equation with Poisson jumps. Both the maximum principle…