相关论文: On a Boltzmann type price formation model

We develop the idea that a natural link between Boltzmann schemes and finite volumes exists naturally: the conserved mass and momentum during the collision phase of the Boltzmann scheme induces general expressions for mass and momentum…

In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…

We propose a new model for the time evolution of livestock commodities which exhibits endogenous deterministic stochastic behaviour. The model is based on the Yoccoz-Birkeland integral equation, a model first developed for studying the…

In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…

The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…

We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to "bid" and "ask"…

We present a lattice Boltzmann algorithm based on an underlying free energy that allows the simulation of the dynamics of a multicomponent system with an arbitrary number of components. The thermodynamic properties, such as the chemical…

We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional integral of a diffusion process and both the stock price and the volatility…

We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price…

The lattice Boltzmann method can be used to simulate flow through porous media with full geometrical resolution. With such a direct numerical simulation, it becomes possible to study fundamental effects which are difficult to assess either…

This paper is concerned with the Boltzmann equation with specular reflection boundary condition. We construct a unique global solution and obtain its large time asymptotic behavior in the case that the initial data is close enough to a…

A new approach of implementing initial and boundary conditions for the lattice Boltzmann method is presented. The new approach is based on an extended collision operator that uses the gradients of the fluid velocity. The numerical…

The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…

The parameter dependence of the various attractive solutions of the three variable nonlinear Lorenz model equations for thermal convection in Rayleigh-B\'enard flow is studied. Its bifurcation structure has commonly been investigated as a…

We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…

This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation…

Opinions and beliefs determine the evolution of social systems. This is of particular interest in finance, as the increasing complexity of financial systems is coupled with information overload. Opinion formation, therefore, is not always…

In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…