Related papers: Term Structure Modeling under Volatility Uncertain…
This study develops an integrated stochastic modeling framework for pricing short and medium-maturity equity options and assessing interest-rate risk using the Heston (1993), Bates (1996), and CIR (1985) models. We calibrate the Heston…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
In this paper we discuss a credit risk model with a pure jump L\'evy process for the asset value and an unobservable random barrier. The default time is the first time when the asset value falls below the barrier. Using the…
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…
A novel model of intermittency is presented in which the dynamics of the rates of energy transfer between successive steps in the energy cascade is described by a hierarchy of stochastic differential equations. The probability distribution…
Turing instabilities for a two species reaction-diffusion systems is studied under anisotropic diffusion. More specifically, the diffusion constants which characterize the ability of the species to relocate in space are direction sensitive.…
The study of pattern emergence together with exploration of the exemplar Turing model is enjoying a renaissance both from theoretical and experimental perspective. Here, we implement a stability analysis of spatially dependent reaction…
In this paper we argue that differential rotation can possibly sustain hydrodynamic turbulence in the absence of magnetic field. We explain why the non-linearities of the hydrodynamic equations (i.e. turbulent diffusion) should not be…
This paper introduces a general and new formalism to model the turbulent wave-front phase using fractional Brownian motion processes. Moreover, it extends results to non-Kolmogorov turbulence. In particular, generalized expressions for the…
In this paper, we study the martingale property for a Scott correlated stochastic volatility model, when the correlation coefficient between the Brownian motion driving the volatility and the one driving the asset price process is…
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
In a finite system driven out of equilibrium by a constant external force the thermodynamic uncertainty relation (TUR) bounds the variance of the conjugate current variable by the thermodynamic cost of maintaining the non-equilibrium…
The thermodynamic uncertainty relation (TUR) provides a universal entropic bound for the precision of the fluctuation of the charge transfer for example for a class of continuous time stochastic processes. However, its extension to general…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
The notion of drift refers to the phenomenon that the distribution, which is underlying the observed data, changes over time. Albeit many attempts were made to deal with drift, formal notions of drift are application-dependent and…
A general phenomenological reaction-diffusion model for flow-induced phase transitions in complex fluids is presented. The model consists of an equation of motion for a nonconserved composition variable, coupled to a Newtonian stress…
We consider the dynamics of the disordered trap model, which is known to be completely out-of-equilibrium and to present strong localization effects in its aging phase. We are interested into the influence of an external force, when it is…
An ordinary differential equation perturbed by a null-recurrent diffusion will be considered in the case where the averaging type perturbation is strong only when a fast motion is close to the origin. The normal deviations of these…