Related papers: A theoretical analysis of Guyon's toy volatility m…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…

We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…

We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that…

After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their…

In this work the dynamics of a freely jointed random chain which fluctuates at constant temperature in some viscous medium is studied. The chain is regarded as a system of small particles which perform a brownian motion and are subjected to…

Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…

We study the fracton phase described by the Chamon model in a manifold with a boundary. The new processes and excitations emerging at the boundary can be understood by means of a diagrammatic framework. From a continuum perspective, the…

We show that a method proposed recently, based on the characteristic polynomial of an effective Hamiltonian, had been developed several years earlier by other authors in a clearer and more general way. We outline both implementations of the…

We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show…

We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…

The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…

We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

In this article we discuss an exactly solvable, one-dimensional, periodic toy charge density wave model introduced in [D.C. Kaspar, M. Mungan, EPL {\bf 103}, 46002 (2013)]. In particular, driving the system with a uniform force, we show…

We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time…

Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…

In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…

In an attempt to regularize a previously known exactly solvable model [Yang and Zhang, Eur. J. Phys. \textbf{40}, 035401 (2019)], we find yet another exactly solvable toy model. The interesting point is that while the Hamiltonian of the…

Using min-max inequality we investigate the existence of solutions and thier dependence on parameters for some second order discrete boundary value problem. The approach is based on variational methods and solutions are obtained as saddle…

Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…