Related papers: On the Solution of the Multi-asset Black-Scholes m…
This work explores the non-relativistic quantum propagator $K(x,t)$ as a solution of the Schr\"odinger equation. We suppose that the propagator takes the form ${\rm exp}\left(\frac{\mathrm{i}}{\hbar}S+R\right)$, generalizing the usual WKB…
We study the birational geometry of the Kummer surfaces associated to the Jacobian varieties of genus two curves, with a particular focus on fields of characteristic two. In order to do so, we explicitly compute a projective embedding of…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
This paper explores the use of the multinode Shepard method for the numerical solution of the two-dimensional Black-Scholes equation. The proposed approach integrates a spatial approximation via the multinode Shepard operator with a…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…
We investigate the existence of invariantly defined quasi-local hypersurfaces in the Kastor-Traschen solution containing $N$ charge-equal-to-mass black holes. These hypersurfaces are characterized by the vanishing of particular curvature…
In this paper, we establish a link between quantum stochastic processes, and nonlocal diffusions. We demonstrate how the non-commutative Black-Scholes equation of Accardi & Boukas (Luigi Accardi, Andreas Boukas, 'The Quantum Black-Scholes…
We construct and investigate smooth orientable surfaces in su(N) algebras. The structural equations of surfaces associated with Grassmannian sigma models on Minkowski space are studied using moving frames adapted to the surfaces. The first…
We establish the following Hadamard--Stoker type theorem: Let $f:M^n\rightarrow\mathscr{H}^n\times\mathbb R$ be a complete connected hypersurface with positive definite second fundamental form, where $\mathscr H^n$ is a Hadamard manifold.…
Pursuing our analysis of [1], we study the gravitational solution space around a null hypersurface in the bulk of spacetime, such as a black hole or a cosmological horizon. We discuss the corresponding characteristic initial value problem…
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 analyse the geometry of a spherically symmetric black hole with an inner and outer apparent horizon which is perturbed by spherical null shells of matter. On a classical level we observe that the mass inflation instability is triggered,…
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated pricing biases. This study introduces a novel framework for…
Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and are effectively restricted to three assets. Practitioners…
We propose a new cognitive framework for option price modelling, using quantum neural computation formalism. Briefly, when we apply a classical nonlinear neural-network learning to a linear quantum Schr\"odinger equation, as a result we get…
Black-Scholes equation as one of the most celebrated mathematical models has an explicit analytical solution known as the Black-Scholes formula. Later variations of the equation, such as fractional or nonlinear Black-Scholes equations, do…
In a global derivatives market with notional values in the hundreds of trillions of dollars, the accuracy and efficiency of pricing models are of fundamental importance, with direct implications for risk management, capital allocation, and…
A numerical scheme is developed for solution of the Goursat problem for a class of nonlinear hyperbolic systems with an arbitrary number of independent variables. Convergence results are proved for this difference scheme. These results are…
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric models, our framework avoids parameter explosion in the…