相关论文: On a Boltzmann type price formation model

In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…

A rigorous free energy model for ternary fluid flows with density ratio up to of order $O(10^3)$ is presented and implemented using the entropic lattice Boltzmann scheme. The model is thermodynamically consistent and allows a broad range of…

Boundaries occur naturally in kinetic equations and boundary effects are crucial for dynamics of dilute gases governed by the Boltzmann equation. We develop a mathematical theory to study the time decay and continuity of Boltzmann solutions…

We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…

We consider a parabolic non-local free boundary problem that has been derived as a limit of a bulk-surface reaction-diffusion system which models cell polarization. The authors have justified the well-posedness of this problem and have…

We propose a new second-order accurate lattice Boltzmann formulation for linear elastodynamics that is stable for arbitrary combinations of material parameters under a CFL-like condition. The construction of the numerical scheme uses an…

The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brownian motion coupled to a Gamma Levy subordinator and…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential L\'evy-type martingale. This class of models allows for a local volatility, local default intensity and a locally dependent L\'evy measure.…

We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for…

A lattice-Boltzmann model for the study of the dynamics of oil-water-surfactant mixtures is constructed. The model, which is based on a Ginzburg-Landau theory of amphiphilic systems with a single, scalar order parameter, is then used to…

A variation of Affleck-Dine mechanism was proposed to generate the observed baryon asymmetry in [1], in which the inflaton was assumed to be a complex scalar field with a weakly broken $U(1)$ symmetry, and the baryon asymmetry generation…

We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary…

Pattern formation in reaction-diffusion systems is of great importance in surface micro-patterning [Grzybowski et al. Soft Matter. 1, 114 (2005)], self-organization of cellular micro-organisms [Schulz et al. Annu. Rev. Microbiol. 55, 105…

We develop our recently proposed lattice-Boltzmann method for the non-equilibrium dynamics of amphiphilic fluids (Chen, Boghosian, Coveney and Nekovee, Proc. Roy. Soc. London A, 456, 1431 (2000).) Our method maintains an orientational…

In this paper, we discuss the method of Bayesian regression and its efficacy for predicting price variation of Bitcoin, a recently popularized virtual, cryptographic currency. Bayesian regression refers to utilizing empirical data as proxy…

We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…

We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models…

We derive various novel free boundary problems as limits of a coupled bulk-surface reaction-diffusion system modelling ligand-receptor dynamics on evolving domains. These limiting free boundary problems may be formulated as Stefan-type…

The parabolic obstacle problem for the fractional Laplacian naturally arises in American option models when the assets prices are driven by pure jump L\'evy processes. In this paper we study the regularity of the free boundary. Our main…

We present a derivation of generalized Poisson-Boltzmann equations starting {from} classical theories of binary fluid mixtures, employing an approach based on the Legendre transform as recently applied to the case of local descriptions of…