Related papers: A Note on Real-World and Risk-Neutral Dynamics for…
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
Using random matrices, we study the reduced dynamics of a two level system interacting with a generic environment. In the weak coupling limit, the result can be obtained directly from known results for purity decay, and result in Markovian…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has played the key role as in physics. In our…
We consider a relativistic extended object described by a reparametrization invariant local action that depends on the extrinsic curvature of the worldvolume swept out by the object as it evolves. We provide a Hamiltonian formulation of the…
Transport phenomena in spatially periodic systems far from thermal equilibrium are considered. The main emphasize is put on directed transport in so-called Brownian motors (ratchets), i.e. a dissipative dynamics in the presence of thermal…
Among theoretical issues in General Relativity the problem of constructing its Hamiltonian formulation is still of interest. The most of attempts to quantize Gravity are based upon Dirac generalization of Hamiltonian dynamics for system…
We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…
We consider Hamiltonian formulation of a dynamical system forced to move on a submanifold $G_\alpha(q^A)=0$. If for some reasons we are interested in knowing the dynamics of all original variables $q^A(t)$, the most economical would be a…
It is well-known that Brownian ratchets can exhibit current reversals, wherein the sign of the current switches as a function of the driving frequency. We introduce a spatial discretization of such a two-dimensional Brownian ratchet to…
The global stability of laminar axisymmetric low-density jets is investigated in the low Mach number approximation. The linear modal dynamics is found to be characterised by two features: a stable arc branch of eigenmodes and an isolated…
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate…
Stability results for extremum seeking control in $\mathbb{R}^n$ have predominantly been restricted to local or, at best, semi-global practical stability. Extending semi-global stability results of extremum-seeking systems to unbounded sets…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or…
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…
This paper presents a non-minimal order dynamics model for many analysis, simulation, and control problems of constrained mechanical systems with switching topology by making use of linear projection operator. The distinct features of this…