Related papers: Explosion in the quasi-Gaussian HJM model
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two…
We consider the problem of obtaining effective representations for the solutions of linear, vector-valued stochastic differential equations (SDEs) driven by non-Gaussian pure-jump L\'evy processes, and we show how such representations lead…
L\'{e}vy processes with completely monotone jumps appear frequently in various applications of probability. For example, all popular stock price models based on L\'{e}vy processes (such as the Variance Gamma, CGMY/KoBoL and Normal Inverse…
In this paper, we study a family of stochastic volatility processes; this family features a mean reversion term for the volatility and a double CEV-like exponent that generalizes SABR and Heston's models. We derive approximated closed form…
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the…
A study of medium-mass heavy-ion reactions leading to two fragments in the exit channel from barrier to 18A MeV is proposed. A special focus is made on fission and quasi-fission for events with two fragments ($Z\geq10$) in the exit channel…
A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit…
We characterise all the quasi-stationary distributions and the Q-process associated with a continuous state branching process that explodes in finite time. We also provide a rescaling for the continuous state branching process conditioned…
We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stock price $x\in \RR$ and the variance $v\in (0,\infty)$ is the…
We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on…
A one-dimensional discrete Boltzmann model for detonation simulation is presented. Instead of numerical solving Navier-Stokes equations, this model obtains the information of flow field through numerical solving specially discretized…
Let $\textbf{Z}(t)=(Z_1(t) ,\ldots, Z_d(t))^\top , t \in \mathbb{R}$ where $Z_i(t), t\in \mathbb{R}$, $i=1,...,d$ are mutually independent centered Gaussian processes with continuous sample paths a.s. and stationary increments. For…
Some nearly-symmetric fusion reactions are systematically investigated with the improved quantum molecular dynamics (ImQMD) model. By introducing two-body inelastic scattering in the Fermi constraint procedure, the stability of an…
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism.…
A statistical-type model is developed to describe the ion production and electron emission in collisions of (molecular) ions with atoms. The model is based on the Boltzmann population of the bound electronic energy levels of the quasi…
For the quintic, mass critical generalized Korteweg-de Vries equation, for any $\nu \in (\frac{1}{2}, 1)$, we prove the existence of solutions in the energy space that blow up in finite time $T>0$ with the blow-up rate $\|\partial_x…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. First, it is known since the Lehman Brothers bankruptcy that the…
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic.…