Related papers: Stochastic Calculus for Assets with Non-Gaussian P…
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds. The resulting formula is…
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time…
We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.
The state-of-the-art theoretical formalism for a covariant description of non-Gaussian fluctuation dynamics in relativistic fluids is discussed.
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for…
We reconsider the dynamics of stochastic or thermal tunneling in theories like Dirac-Born-Infeld inflation that have non-minimal kinetic terms and, as a result, strongly non-Gaussian perturbations. We first describe a local description of…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…
Recent progress of a general deterministic approach to the non-Gaussian fluctuation dynamics is reviewed, with an emphasis on the derivation of the fluctuation evolution equations and their phenomenological implication in heavy-ion…
This paper presents a new, non-Gaussian formulation of stochastic gravity by incorporating the higher moments of the fluctuations of the quantum stress energy tensor for a free quantum scalar field in a consistent way. A scheme is developed…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
In our previous paper, we have proposed a new algorithm to calculate the power spectrum of the curvature perturbations generated in inflationary universe with use of the stochastic approach. Since this algorithm does not need the…
Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
The applicability of stochastic differential equations to thermodynamics is considered and a new form, different from the classical Ito and Stratonovich forms, is introduced. It is shown that the new presentation is more appropriate for the…
We show how one can actually take advantage of the strongly non-Gaussian nature of the fluctuations of financial assets to simplify the calculation of the Value-at-Risk of complex non linear portfolios. The resulting equations are not hard…