In their path-finding 1973 paper, Black and Scholes presented two separate derivations of their famous option pricing partial differential equation. The second derivation was from the standpoint that was Black's original motivation, namely, the capital asset pricing model (CAPM). We show here,...

The question of information cascades in finance appears in the literature. We use the dynamics of Kolmogorov's 1962 (K62) turbulence model, an example of multiaffine scaling, to illustrate how evidence for diffusion from large to small length scales, or correspondingly an information cascade...

This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and...

Extending previous work on non-equilibrium option pricing theory (Eur. Phys. J. 14 (2000) 383–394), a mean field approach is developed to understand the curvature of (implied by Black–Scholes (BS)) volatility surfaces (curves) as a function of moneyness (strike price divided by price). The...

Тема данной работы на сегодняшний день актуальна, поскольку инфраструктура Омской области в данный момент слабо развита, что негативно сказывается на доходную...

Analyzing social systems, particularly financial markets, using a complex network approach has become one of the most popular fields within econophysics. A similar trend is currently appearing within the econometrics and finance communities, as well. In this study, we present a...