Spontaneous Detachment of Colloids from Primary Energy Minima by Brownian Diffusion. [PDF]
PLoS One, 2016 Wang Z +5 more
europepmc +1 more source
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley +1 more source
From Lévy walks to Brownian motion in schools of zebrafish (Danio rerio). [PDF]
Eur Phys J E Soft Matterda Silva AM +6 more
europepmc +1 more source
Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
Competitive roles of plasticity, elasticity, and radiation in heat/mass transfer of Casson-Williamson-Maxwell nanofluid over a porous stretching sheet. [PDF]
Discov NanoKavitha R, Samikannu R, Ladu NSD.
europepmc +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Spiking neural models for decision-making tasks with learning. [PDF]
J Math BiolJaffard S +3 more
europepmc +1 more source
Coordinating Bank Dividend and Capital Regulation
Mathematical Finance, EarlyView.ABSTRACT This paper examines how state‐dependent dividend restrictions (taxes and bans) and capital requirements influence a bank's capital buffer accumulation and risk‐taking decisions. In the model, the bank distributes dividends and issues costly equity to maximise shareholder value, while its loans generate stochastic income under time‐varying ...
Salvatore Federico +2 more
wiley +1 more source
Perspective on "Active Brownian particles moving in a random Lorentz gas". [PDF]
Eur Phys J E Soft MatterReichhardt C, Reichhardt CJO.
europepmc +1 more source
Evolutionary legacies structure the geography of seagrass traits across the world's oceans
New Phytologist, EarlyView.Summary Traits modulate species' ability to track shifts in climate, yet the extent to which traits have been shaped by the contemporary environment and/or historical processes remains poorly understood. Here, we fill this gap for the world's seagrasses, habitat‐forming species that provide critical ecosystem services.
Nestor E. Bosch +2 more
wiley +1 more source