Related papers: On the Solution of the Multi-asset Black-Scholes m…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
In this paper a time-fractional Black-Scholes model (TFBSM) is considered to study the price change of the underlying fractal transmission system. We develop and analyze a numerical method to solve the TFBSM governing European options. The…
We consider theories containing scalar fields interacting with vector or with tensor degrees of freedom, equipped with symmetries that prevent the propagation of linearized scalar excitations around solutions of the equations of motion. We…
In arXiv:2312.14108, we argued that a sliver at the black hole mass in the Hilbert space of a quantum field theory on an AdS black hole with a stretched horizon, has many desirable features of black hole microstates. A key observation is…
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Scholes one, where the volatility used by the…
We represent the functioning of the housing market and study the relation between income segregation, income inequality and house prices by introducing a spatial Agent-Based Model (ABM). Differently from traditional models in urban…
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…
Given a zero-dimensional scheme Z, the higher-rank interpolation problem asks for the classification of slopes of vector bundles cohomologically orthogonal to the ideal sheaf of Z. In this paper, we solve this problem for all…
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches:…
We propose a skein model for the quantum cluster algebras of surface type with coefficients. We introduce a skein algebra $\mathscr{S}_{\Sigma,\mathbb{W}}^{A}$ of a walled surface $(\Sigma,\mathbb{W})$, and prove that it has a quantum…
We study the lensing effects of Kerr-Newman (KN) black holes and the multi-level images of luminous sources around the black holes. We obtain the analytic forms of the lens equations in KN spacetime and derive approximately their limiting…
Freeness is an important property of a hypersurface arrangement, although its presence is not well understood. A hypersurface arrangement in $\PP^n$ is free if $S/J$ is Cohen-Macaulay (CM), where $S = K[x_0,\ldots,x_n]$ and $J$ is the…
This paper presents a discrete-time option pricing model that is rooted in Reinforcement Learning (RL), and more specifically in the famous Q-Learning method of RL. We construct a risk-adjusted Markov Decision Process for a discrete-time…
A well-known question in classical differential geometry and geometric analysis asks for a description of possible boundaries of $K$-surfaces, which are smooth, compact hypersurfaces in $\mathbb{R}^d$ having constant Gauss curvature equal…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
In the context of f(R) modified gravity theories, we study the Kerr-Newman black-hole solutions. We study non-zero constant scalar curvature solutions and discuss the metric tensor that satisfies the modified field equations. We determine…
Massive complex scalar fields can form bound states around Kerr black holes. These bound states -- dubbed scalar clouds -- are generically non-zero and finite on and outside the horizon; they decay exponentially at spatial infinity, have a…
We study curves of negative self-intersection on algebraic surfaces. We obtain results for smooth complex projective surfaces X on the number of reduced, irreducible curves C of negative self-intersection C^2. The only known examples of…
This work is concerned with various aspects of the formulation of the quantum inverse scattering method for the one-dimensional Hubbard model. We first establish the essential tools to solve the eigenvalue problem for the transfer matrix of…
We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a multiplicative transformation of space variables in the…