Related papers: Quadratic Volatility from the P\"oschl-Teller Pote…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…
Using algebraic techniques we obtain quasinormal modes and frequencies associated to generalized forms of the scattering P\"oschl-Teller potential. This approach is based on the association of the corresponding equations of motion with…
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…
In this paper we analyze the quantum homological invariants (the Poincar\'e polynomials of the $\mathfrak{sl}_N$ link homology). In the case when the dimensions of homologies of appropriate topological spaces are precisely known, the…
We consider a Hamiltonian quantum theory of spherically symmetric, asymptotically flat electrovacuum spacetimes. The physical phase space of such spacetimes is spanned by the mass and the charge parameters $M$ and $Q$ of the…
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We construct one soliton solutions for the nonlinear Schroedinger equation with variable quadratic Hamiltonians in a unified form by taking advantage of a complete (super) integrability of generalized harmonic oscillators. The soliton wave…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space or superspace onto an ordinary space can…
In frames of the nonlocal and nonpolynomial quantum theory of the one component scalar field in $D$-dimensional spacetime, stated by Gariy Vladimirovich Efimov, the expansion of the $\mathcal{S}$-matrix is revisited for different…
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian motion, includes two wave-type approaches:…
It was demonstrated previously that the stochastic volatility emerges as the gauge field necessary for restoring the local symmetry under changes of the prices of the stocks inside the Black-Scholes (BS) equation. When this occurs, then a…
We develop a class of regular black holes by prescribing finite curvature invariants and reconstructing the corresponding spacetime geometry. Two distinct approaches are employed: one based on the Ricci scalar and the other on the Weyl…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
The conventional Hamiltonian $H= p^2+ V_N(x)$, where the potential $V_N(x)$ is a polynomial of degree $N$, has been studied intensively since the birth of quantum mechanics. In some cases, its spectrum can be determined by combining the WKB…
We describe a midi-superspace quantization scheme for generic single horizon black holes in which only the spatial diffeomorphisms are fixed. The remaining Hamiltonian constraint yields an infinite set of decoupled eigenvalue equations: one…
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there…
We generalize the Chern-Simons modified gravity to the metric-affine case and impose projective invariance by supplementing the Pontryagin density with homothetic curvature terms which do not spoil topologicity. The latter is then broken by…