Results 91 to 100 of about 91,586,058 (209)
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
Discrete variational derivative methods: Geometric Integration methods for PDEs
, 2017 Many PDEs arise from a variational principle, and this leads to many of their qualitative properties. The discrete variational method (DVDM) is a technique for discretising such a PDE directly from this variational principle.
Budd, Christopher
core +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
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
Multisymplectic Geometry, Variational Integrators, and Nonlinear PDEs
This paper presents a geometric-variational approach to continuous and discrete mechanics and field theories. Using multisymplectic geometry, we show that the existence of the fundamental geometric structures as well as their preservation along solutions
Jerrold E. Marsden +2 more
core
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
Partial Observation of Linear Systems With the Mori–Zwanzig Formalism
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT The Mori–Zwanzig (MZ) formalism provides a systematic framework for deriving reduced‐order model of dynamical systems when only part of the state is observed, but its practical use is often limited by the complexity of the resulting computations.
Fan Wang, Peter Benner, Jan Heiland
wiley +1 more source
Global Graph Surrogates and Neural Graph Elements for Computational Mechanics
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Machine learning surrogates are increasingly used to accelerate physics‐based simulations by predicting full‐field responses at a fraction of the computational cost. In this contribution, we present two complementary graph‐based approaches for surrogate modelling in computational mechanics.
Rutwik Gulakala, Marcus Stoffel
wiley +1 more source
Sparsity‐Driven Source Localization in Tomographic Sensing Applications
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Hyperspectral standoff detection systems such as Focal Plane Array (FPA) Fourier Transform Infrared (FTIR) spectrometers provide high spatial resolution in detecting airborne chemical contaminants that are invisible to the human eye but potentially hazardous. When two such systems are operated simultaneously with a suitable opening angle, they
Marco Mattuschka +5 more
wiley +1 more source