Related papers: While Stability Lasts: A Stochastic Model of Non-C…
Cryptocurrency networks such as Bitcoin have emerged as a distributed alternative to traditional centralized financial transaction networks. However, there are major challenges in scaling up the throughput of such networks. Lightning…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
Quadratic scale-invariant gravity non minimally coupled to a scalar field provides a competitive model for inflation, characterized by the transition from an unstable to a stable fixed point, both characterized by constant scalar field…
Stablecoins are a class of cryptocurrencies which aim at providing consistency and predictability, typically by pegging the token's value to that of a real world asset. Designing resilient decentralized stablecoins is a challenge, and…
Blockchain technologies are one possible avenue for increasing the resilience of the Smart Grid, by decentralizing the monitoring and control of system-level objectives such as voltage stability protection. They furthermore offer benefits…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
This paper examines the value of storage in securing reliability of a system with uncertain supply and demand, and supply friction. The storage is frictionless as a supply source, but once used, it cannot be filled up instantaneously. The…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
Stochastic feedback systems give rise to a variety of notions of stability. The conditions for the stability of the median, mean, and variance stability conditions differ. These conditions can be stated explicitly for scalar discrete-time…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail.…
This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a differential equation driven by a fractional Brownian motion of Hurst…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal distribution does not work well. Then, the potentials issues of…
This article is concerned with stability analysis and stabilization of randomly switched systems under a class of switching signals. The switching signal is modeled as a jump stochastic (not necessarily Markovian) process independent of the…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…