Related papers: Quadratic Volatility from the P\"oschl-Teller Pote…
We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are…
It is known that the spectrum of quasi-normal modes of potential barriers is related to the spectrum of bound states of the corresponding potential wells. This property has been widely used to compute black hole quasi-normal modes, but it…
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…
A nonlinear model of the quantum harmonic oscillator on two-dimensional spaces of constant curvature is exactly solved. This model depends of a parameter $\la$ that is related with the curvature of the space. Firstly the relation with other…
The Schrodinger equation describes how quantum states evolve according to the Hamiltonian of the system. For physical systems, we have it that the Hamiltonian must be a Hermitian operator to ensure unitary dynamics. For anti-Hermitian…
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an…
Representations of the quantum q-oscillator algebra are studied with particular attention to local Hamiltonian representations of the Schroedinger type. In contrast to the standard harmonic oscillators such systems exhibit a continuous…
We consider two-dimensional harmonic oscillator in the complex Bargmann-Fock-Segal representation with $T^*{\mathbb R}^{2}={\mathbb C}^2$ as classical phase space. We show that the eigenfunctions $\psi_n$ of the quantum Hamiltonian…
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a…
Analyzing the stability of quasinormal modes (QNM) is essential for understanding black hole dynamics, particularly in the context of gravitational wave emissions and black hole spectroscopy. In this study, we employ the hyperboloidal…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order to perturbate parameters and stochastic…
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient estimates, and strict monotonicity with respect to the…
We study static and radially symmetric black holes in the multi-fractional theories of gravity with $q$-derivatives and with weighted derivatives, frameworks where the spacetime dimension varies with the probed scale and geometry is…
Cosmological alpha-attractors give a natural explanation for the spectral index n_s of inflation as measured by Planck while predicting a range for the tensor-to-scalar ratio r, consistent with all observations, to be measured more…
We explore the possibility that quadratic gravity, as a renormalizable theory, describes the interior of quantum black holes. We find new exact power-law solutions to pure quadratic gravity under spherical symmetry, which are complex…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
We improve upon the simple model studied by Casadio and Orlandi [JHEP 1308 (2013) 025] for a black hole as a condensate of gravitons. Instead of the harmonic oscillator potential, the P\"oschl-Teller potential is used, which allows for a…
It is known that besides the usual unitary mappings $\Omega = 1/\Omega^\dagger$ between the equivalent representations of the physical Hilbert space of Quantum Mechanics (often, Fourier transformations), the generalized non-unitary maps…
We survey results that have been obtained for self-adjoint operators, and especially Schr\"odinger operators, associated with mathematical models of quasicrystals. After presenting general results that hold in arbitrary dimensions, we focus…