Related papers: On the Solution of the Multi-asset Black-Scholes m…
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient estimates, and strict monotonicity with respect to the…
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…
One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based…
The 2-matrix model has been introduced to study Ising model on random surfaces. Since then, the link between matrix models and combinatorics of discrete surfaces has strongly tightened. This manuscript aims to investigate these deep links…
We study the categorification of collapsed Riemann surfaces with quadratic differentials allowing arbitrary order zeros and poles via the Verdier quotient. We establish an isomorphism between the exchange graph of hearts in the quotient…
The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the $\alpha$~-~quantile price is shown. The large Black-Scholes model is…
Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets…
We present two models for incorporating the total effect of market microstructure noise into dynamic pricing of assets and European options. The first model is developed under a Black-Scholes-Merton, continuous-time framework. The second…
Following Freivogel {\it et al} we consider inflation in a predictive (or `friendly') region of the landscape of string vacua, as modeled by Arkani-Hamed, Dimopoulos and Kachru. In such a region the dimensionful coefficients of…
The Koch snowflake is a classical example of a planar curve with infinite perimeter enclosing a finite, positive area. Although such examples are well known individually, classical treatments typically analyze each construction in isolation…
We adapt the Newman-Penrose formalism in general relativity to the setting of three-dimensional Riemannian geometry, and prove the following results. Given a Riemannian 3-manifold without boundary and a smooth unit vector field…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime…
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…
Global properties of static, spherically symmetric configurations of scalar fields of sigma-model type with arbitrary potentials are studied in $D$ dimensions, including space-times containing multiple internal factor spaces. The latter are…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
During the last twenty-five years evidence has been mounting that a black-hole surface area has a {\it discrete} spectrum. Moreover, it is widely believed that area eigenvalues are {\it uniformally} spaced. There is, however, no general…
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of…
In this dissertation, we introduce a general way of modeling inflation in a framework that is independent of the exact nature of the inflationary potential. Because of the choice of our initial conditions and the continuity of the scale…
We have investigated the behavior of three curvature invariants for Schwarzschild, Reissner-Nordstr{\o}m, Kerr, and Kerr-Newman black holes. We have also studied these invariants for a Schwarzschild-de Sitter space-time, the $\gamma$…