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Found 10 papers, 0 papers with code
Hydrodynamics of Markets:Hidden Links Between Physics and Finance
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented.
Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results
We have identified connections in these seemingly disparate areas as we link together small wave-like perturbations of linear flows in ideal and viscous fluids described in hydrodynamics by Kevin waves to motions of free and harmonically bound particles described in molecular physics by Klein-Kramers and Kolmogorov equations to Gaussian and non-Gaussian affine processes, e. g., Ornstein-Uhlenbeck and Feller, arising in financial engineering.
SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}
Local Stochastic Volatility (LSV) models have been used for pricing and hedging derivatives positions for over twenty years.
Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility.
Multilayer heat equations and their solutions via oscillating integral transforms
By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms.
Cryptocurrencies and the Future of Money
We review different classes of cryptocurrencies with emphasis on their economic properties.
A closed-form solution for optimal mean-reverting trading strategies
They enter a long position when a security is priced below its estimated equilibrium level, and they enter a short position when a security is priced above its estimated equilibrium level.
Physics and Derivatives -- Interview Questions and Answers
Answers to interview questions sent to a selected group of former physicists working in finance.
Towards a Design Philosophy for Interoperable Blockchain Systems
In this paper we discuss a design philosophy for interoperable blockchain systems, using the design philosophy of the Internet architecture as the basis to identify key design principles.
Cryptography and Security
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks.
