Results 51 to 60 of about 2,890 (145)
Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +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
Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
wiley +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
The Journal of Physiology, EarlyView.Abstract figure legend Ephaptic phenomena in a high‐resolution model of the cardiac intercalated disc. Meshed representation of a tortuous intercalated disc that was generated based on electron and super‐resolution microscopy data. Na+ channels (red) and gap junctions (green) are heterogeneously distributed, with additional regions of reduced ion ...
Ena Ivanovic +4 more
wiley +1 more source
Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
wiley +1 more source
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Recent results have shown that domain‐uniform stabilizability and detectability imply spatial exponential decay of perturbations in optimally controlled hyperbolic PDEs on one‐dimensional domains. This domain‐uniform stabilizability and detectability can be achieved only if the control domain is distributed over the whole spatial domain such ...
Benedikt Oppeneiger
wiley +1 more source
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the high dimensionality, the solution of the arising algebraic systems do not become feasible without ...
Moataz Dawor +2 more
wiley +1 more source
Model Adjustments and Solver Construction for Galvanic Cells Based on NPP‐Systems
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Electroplated coatings on metallic substrates have a wide range of practical applications ranging from corrosion or wear protection on parts, good conductivity on electrical contacts to coating systems for bipolar plates in fuel cells. The large field of applications in electrochemical engineering motivates several questions for scientific ...
Stephan Daniel Schwöbel +2 more
wiley +1 more source
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT We develop a physics‐informed Fourier Neural Operator (PINO) for the surrogate modeling of full‐field responses in polycrystalline microstructures. Reference stress and strain fields are generated using an FFT‐based full‐field solver under prescribed macroscopic loading. The model maps the crystallographic orientation field q(x)$\bm{q}(\bm{x})$
Ahmad Awad, Lisa Scheunemann
wiley +1 more source