Related papers: Quadratic Volatility from the P\"oschl-Teller Pote…
We investigate perturbative quasinormal-mode (QNM) shifts of black holes arising from fractional, nonlocal modifications to the wave operator. Starting from a scalar master equation corrected by a small fractional Laplacian term…
A real potential Hamiltonian has real energy bound states below the scattering threshold and complex energy resonances above it. Scattering states are not square integrable, being instead delta function normalized. This lack of square…
We report on some properties of a quantum black hole obtained recently. The correction to the Newtonian gravitational potential is proportional to a coupling $\alpha$, which is the only free parameter of the theory. We constrain the…
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pricing a European option with a complex volatility has…
We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We numerically simulate the option prices using the technique of…
We analyse the diagonal quotient for products of certain Artin--Schreier curves. The smooth models are almost always surfaces of general type, with Chern slopes tending asymptotically to 1. The calculation of numerical invariants relies on…
Real life hedging in the Black-Scholes model must be imperfect and if the stock's drift is higher than the risk free rate, leads to a profit on average. Hence the option price is examined as a fair game agreement between the parties, based…
This thesis explores Quantum Field Theory (QFT) on curved spacetimes using a geometric Hamiltonian approach to the Schr\"odinger-like representation. In particular it studies the theory of the scalar field described through its…
The possibility of formulating quantum mechanics over quaternionic Hilbert spaces can be traced back to von Neumann's foundational works in the thirties. The absence of a suitable quaternionic version of spectrum prevented the full…
In this paper, we present an analytical solution for the Bohr Hamiltonian with the trigonometric P\"oschl Teller (P.T) potential in the cases of {\gamma} unstable nuclei and {\gamma} stable axially symmetric prolate deformed ones with…
By using the Hamiltonian formulation, we demonstrate that the Merton-Garman equation emerges naturally from the Black-Scholes equation after imposing invariance (symmetry) under local (gauge) transformations over changes in the stock price.…
We consider the eigenvalues of a one-dimensional semiclassical Schr\"odinger operator, where the potential consist of two quadratic ends (that is, looks like a harmonic oscillator at each infinite end), possibly with a flat region in the…
We study the fundamental relationship between stable quotient invariants and the B-model for local CP2 in all genera. Our main result is a direct geometric proof of the holomorphic anomaly equation in the precise form predicted by B-model…
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models…
Oscillations of black hole spacetimes exhibit divergent behavior toward the bifurcation sphere and spatial infinity. This divergence can be understood as a consequence of the geometry in these spacetime regions. In contrast, black-hole…
Exactly solvable potentials of nonrelativistic quantum mechanics are known to be shape invariant. For these potentials, eigenvalues and eigenvectors can be derived using well known methods of supersymmetric quantum mechanics. The majority…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
We adopt some basic ideas on quantum-theoretical modeling of tonal attraction and develop them further in an alternative direction. Fitting Gaussian Mixture Models (GMM) to the Krumhansl-Kessler (KK) probe tone profiles for static…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…