Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
We continue a series of papers where prices of the barrier options written on the underlying,
which dynamics follows some one factor stochastic model with time-dependent coefficients …
which dynamics follows some one factor stochastic model with time-dependent coefficients …
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-
dependent) and American options written on the underlying stock which follows a time …
dependent) and American options written on the underlying stock which follows a time …
Multilayer heat equations: application to finance
In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic
equations. Our approach provides a powerful alternative to the well-known finite difference …
equations. Our approach provides a powerful alternative to the well-known finite difference …
[BOOK][B] Generalized integral transforms in mathematical finance
This book describes several techniques, first invented in physics for solving problems of heat
and mass transfer, and applies them to various problems of mathematical finance defined in …
and mass transfer, and applies them to various problems of mathematical finance defined in …
A closed-form solution for optimal ornstein–uhlenbeck driven trading strategies
A Lipton, M LÓPEZ DE PRADO - International Journal of Theoretical …, 2020 - World Scientific
When prices reflect all available information, they oscillate around an equilibrium level. This
oscillation is the result of the temporary market impact caused by waves of buyers and …
oscillation is the result of the temporary market impact caused by waves of buyers and …
A closed-form solution for optimal mean-reverting trading strategies
A Lipton, ML de Prado - arXiv preprint arXiv:2003.10502, 2020 - arxiv.org
When prices reflect all available information, they oscillate around an equilibrium level. This
oscillation is the result of the temporary market impact caused by waves of buyers and …
oscillation is the result of the temporary market impact caused by waves of buyers and …
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
In this paper, we argue that some of the most popular short-term interest models have to be
revisited and modified to reflect current market conditions better. In particular, we propose a …
revisited and modified to reflect current market conditions better. In particular, we propose a …
Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes
We study the barrier that gives the optimal time to exercise an American option written on a
time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to …
time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to …
[PDF][PDF] Can the evolution of financial markets be explained with fluid mechanics?
CLK Isaac - 2022 - isaacchu.org
It is well acknowledged that chaos is found in both the financial market and fluid flow. Some
of their most important relationships as well as the rules controlling financial markets are …
of their most important relationships as well as the rules controlling financial markets are …
Old problems, classical methods, new solutions
A Lipton - International Journal of Theoretical and Applied …, 2020 - World Scientific
We use a powerful extension of the classical method of heat potentials, recently developed
by the present author and his collaborators, to solve several significant problems of financial …
by the present author and his collaborators, to solve several significant problems of financial …