Related papers: Explosion in the quasi-Gaussian HJM model
A quasi-one-dimensional analytic model is proposed for the internal fluid of rotating detonation combustors (RDCs). This model uses the shock-tube model that constrains the flow to have only a longitudinal component, while admitting the…
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…
We perform hydrodynamical simulations of core collapse supernovae (CCSNe) with a cylindrically-symmetrical numerical code (FLASH) to study the inflation of bubbles and the initiation of the explosion within the frame of the jittering-jets…
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…
We carry on our studies related to the fully parabolic quasilinear Keller-Segel system started in [6] and continued in [7]. In the above mentioned papers we proved finite-time blowup of radially symmetric solutions to the quasilinear…
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form…
We propose a new model for the initiation of a solar coronal mass ejection (CME). The model agrees with two properties of CMEs and eruptive flares that have proved to be very difficult to explain with previous models. a) Very low-lying…
We consider the stochastic volatility model $dS_t = \sigma_t S_t dW_t,d\sigma_t = \omega \sigma_t dZ_t$, with $(W_t,Z_t)$ uncorrelated standard Brownian motions. This is a special case of the Hull-White and the $\beta=1$ (log-normal) SABR…
We propose a quasi maximum likelihood estimation method for Bergomi-type stochastic volatility models with parametrized kernels, focusing on the estimation of the kernel parameters from high-frequency time-series observations of option…
Several studies explore inferences based on stochastic volatility (SV) models, taking into account the stylized facts of return data. The common problem is that the latent parameters of many volatility models are high-dimensional and…
We study the origins of the $\sqrt{dt}$ effect in finance and SDE. In particular, we show, in the game-theoretic framework, that market volatility is a consequence of the absence of riskless opportunities for making money and that too high…
We give conditions under which the normalized marginal distribution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions of stochastic differential equations with…
A minimal model for curved detonations is studied, illustrating the role of the reaction rate on the detonation speed and its propagation limits. The model is based on a simple extension of the minimal Fickett toy model for detonations…
Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…
Following the discovery of a new class of X-ray variability seen in four galaxies, dubbed Quasi-Periodic Eruptions (QPEs), we reconsider the variability seen in the low-mass AGN 2XMM J123103.2+110648 to ascertain whether it should be…
The stochastic reaction-diffusion model driven by a multiplicative noise is examined. We construct the gradient discretisation method (GDM), an abstract framework combining several numerical method families. The paper provides the…
Fusion dynamics and the onset of quasi-fission in reactions, leading to production of superheavy nuclei are investigated using the constrained molecular dynamics model. Constraints on the parameters of the nuclear equation of state are…
This paper is concerned with the well-posedness of a time-fractional shallow-water equations, which has received little attention. In the realm of fractional calculus, numerous types of fractional derivatives have been explored in the…
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…