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ENERGY TRANSFER IN A FAST-SLOW HAMILTONIAN SYSTEM
FAST-SLOW HAMILTONIAN SYSTEM ENERGY TRANSFER
2015/9/29
We consider a finite region of a lattice of weakly interacting geodesic flows on manifolds of negative curvature and we show that, when rescaling
the interactions and the time appropriate...
When the full stock of a new product is quickly sold in a few days or weeks, one has the impression that new technologies develop and conquer the market in a very easy way. This may be true for some n...
Multiplicative noise, fast convolution, and pricing
Computational Finance Stochastic Processes Non-Gaussian Option Pricing Numerical Methods for Option Pricing
2011/7/19
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numeri...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Di erentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/10/19
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
Stochastic volatility Heston model fast mean-reversion
2010/10/21
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
The gauge theory of arbitrage was introduced by Ilinski in [arXiv:hep-th/9710148] and applied to fast money flows in [arXiv:cond-mat/9902044]. The theory of fast money flow dynamics attempts to model...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Dierentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/4/28
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
RAW MATERIAL PRICES, WAGES, AND PROFITABILITY IN CHINA’S INDUSTRY—HOW WAS PROFITABILITY MAINTAINED WHEN INPUT PRICES AND WAGES INCREASED SO FAST?
China profitability commodity price raw material wage
2009/1/16
China’s industrial sector has faced large increases in raw material prices, and wages have also risen significantly. This paper aims at analyzing and quantifying the impact of the cost pressures on th...