Related papers: The multi-dimensional Stochastic Stefan Financial …
In this work, we consider the outer Stefan problem for the short-time prediction of the spread of a volatile asset traded in a financial market. The stochastic equation for the evolution of the density of sell and buy orders is the Heat…
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…
Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the…
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type boundary interaction. To solve the equation we transform…
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck…
Many metal manufacturing processes involve phase change phenomena, which include melting, boiling, and vaporization. These phenomena often occur concurrently. A prototypical 1D model for understanding the phase change phenomena is the…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
This work deals with the one-dimensional Stefan problem with a general time-dependent boundary condition at the fixed boundary. Stochastic solutions are obtained using discrete random walks, and the results are compared with analytic…
A brief review of the Stefan problem of solidification from a mixture, and its main numerical solution methods is given. Simulation of this problem in 2D or 3D is most practically done on a regular grid, where a sharp solid-liquid interface…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
Free boundary problems appear naturally in numerous areas of mathematics, science and engineering. These problems present a great computational challenge because they necessitate numerical methods that can yield an accurate approximation of…
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
We consider a probabilistic formulation of a singular two-phase Stefan problem in one space dimension, which amounts to a coupled system of two McKean-Vlasov stochastic differential equations. In the financial context of systemic risk, this…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have studied the portfolio optimization…
We consider approximations of the Stefan-type condition by imbalances of volume closely around the inner interface and study convergence of the solutions of the corresponding semilinear stochastic moving boundary problems. After a…
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
We introduce and analyze a nonlocal version of the one-phase Stefan problem in which, as in the classical model, the rate of growth of the volume of the liquid phase is proportional to the rate at which energy is lost through the…