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Bak--Sneppen type models and rank-driven processes
Bak--Sneppen type models rank-driven processes
2010/11/10
We analyse a surprising connection between Bak--Sneppen type models and much simpler Markov processes, which we call rank-driven processes (RDPs).
Scaling Limits for Multispecies Statistical Mechanics Mean-Field Models
Multispecies Statistical Mechanics Mean-Field Models
2010/11/19
We study the limiting thermodynamic behavior of the normalized sums of spins in multi-species Curie-Weiss models. We find sufficient conditions for the limiting random vector to be Gaussian (or to ha...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage butterfly riskreversal SABR model
2010/4/27
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...