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We derive an extremal fractional Gaussian by employing the L\'evy-Khintchine theorem and L\'evian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically…
In this paper, we have provided exact two-body solutions to the 2D and 3D Schr\"odinger equations with isotropic van der Waals potentials of the form \(\pm 1/r^6\). Based on these solutions, we developed an analytical quantum defect theory…
The action of the quantum mechanical volume operator, introduced in connection with a symmetric representation of the three-body problem and recently recognized to play a fundamental role in discretized quantum gravity models, can be given…
The Bernstein-Vazirani (BV) algorithm is frequently taught as a canonical example of quantum parallelism, yet the standard interference-based explanation often obscures its underlying simplicity. We present a geometric reframing in which…
The nonlinear Schroedinger model is a prototypical dispersive wave equation that features finite time blowup, either for supercritical exponents (for fixed dimension) or for supercritical dimensions (for fixed nonlinearity exponent). Upon…
The boundary at infinity of a quasifuchsian hyperbolic manifold is equiped with a holomorphic quadratic differential. Its horizontal measured foliation $f$ can be interpreted as the natural analog of the measured bending lamination on the…
Motivated by the interpretation of the Ooguri-Strominger-Vafa conjecture as a holographic correspondence in the mini-superspace approximation, we study the radial quantization of stationary, spherically symmetric black holes in four…
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model…
In an effective-field-theory framework for gravity, black-hole quasinormal mode spectra acquire corrections in quadratic-curvature, scalar-tensor extensions of general relativity. Previous calculations of such corrections were limited to…
We explore whether quantum field theory can be understood as the statistical mechanics of a time-reversal-invariant stochastic generalization of Hamiltonian dynamics. The motivation for this project, started with this paper, is to assign…
In a previous paper I showed that a classical scalar potential with $V''/V \sim 1$ can be sufficiently flattened by quantum corrections to give rise to slow-roll inflation. In this paper I give a hybrid inflation implementation of that idea…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
We present several ideas in direction of physical interpretation of $q$- and $f$-oscillators as a nonlinear oscillators. First we show that an arbitrary one dimensional integrable system in action-angle variables can be naturally…
An N-dimensional position-dependent mass Hamiltonian (depending on a parameter \lambda) formed by a curved kinetic term and an intrinsic oscillator potential is considered. It is shown that such a Hamiltonian is exactly solvable for any…
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic…