APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY
From MaRDI portal
Publication:5300024
DOI10.1142/S0218202513500176zbMath1266.91097OpenAlexW2019956623MaRDI QIDQ5300024
Yongsik Kim, Seung-Yeal Ha, Hyeong-Ohk Bae, Hyuncheul Lim, Shin Mi Ahn
Publication date: 24 June 2013
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218202513500176
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Flocking under hierarchical leadership with symmetrical and asymmetrical delays ⋮ Hierarchical Cucker-Smale flocking under random interactions with time-varying failure probabilities ⋮ Swarms dynamics approach to behavioral economy: theoretical tools and price sequences ⋮ Cucker-Smale model with time delay ⋮ Effective rheological properties in semi-dilute bacterial suspensions ⋮ Effect of time delay on flocking dynamics ⋮ Flocking of the hybrid Cucker-Smale model ⋮ Collective behaviors of stochastic agent-based models and applications to finance and optimization ⋮ On the mathematical theory of behavioral swarms emerging collective dynamics ⋮ Volatility flocking by Cucker-Smale mechanism in financial markets ⋮ Effectual leadership in flocks with hierarchy and individual preference ⋮ Emergent phenomena in an ensemble of Cucker–Smale particles under joint rooted leadership ⋮ Cucker-Smale flocking with randomly failed interactions ⋮ Mathematics, complexity and multiscale features of large systems of self-propelled particles ⋮ Uniqueness and well-ordering of emergent phase-locked states for the Kuramoto model with frustration and inertia ⋮ On the Cucker-Smale flocking with alternating leaders ⋮ Flocking of non-identical Cucker-Smale models on general coupling network ⋮ Multi-cluster flocking behavior of the hierarchical Cucker-Smale model ⋮ Stochastic evolutionary differential games toward a systems theory of behavioral social dynamics ⋮ Leader formation with mean-field birth and death models ⋮ Sparse stabilization and control of alignment models ⋮ On the control through leadership of the Hegselmann–Krause opinion formation model ⋮ A kinetic description for the herding behavior in financial market ⋮ A particle model for the herding phenomena induced by dynamic market signals ⋮ Towards a mathematical theory of behavioral swarms ⋮ A mathematical model for volatility flocking with a regime switching mechanism in a stock market ⋮ What is life? A perspective of the mathematical kinetic theory of active particles ⋮ ON THE DIFFICULT INTERPLAY BETWEEN LIFE, "COMPLEXITY", AND MATHEMATICAL SCIENCES ⋮ A discontinuous Galerkin method on kinetic flocking models ⋮ Sparse control of alignment models in high dimension
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the aggregation of information in competitive markets
- A simple proof of the Cucker-Smale flocking dynamics and mean-field limit
- Emergence of time-asymptotic flocking in a stochastic Cucker-Smale system
- MATHEMATICS AND COMPLEXITY OF MULTI-PARTICLE SYSTEMS
- ON THE MATHEMATICAL THEORY OF THE DYNAMICS OF SWARMS VIEWED AS COMPLEX SYSTEMS
- EMERGENCE OF MULTI-CLUSTER CONFIGURATIONS FROM ATTRACTIVE AND REPULSIVE INTERACTIONS
- FROM EMPIRICAL DATA TO INTER-INDIVIDUAL INTERACTIONS: UNVEILING THE RULES OF COLLECTIVE ANIMAL BEHAVIOR
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Stochastic flocking dynamics of the Cucker–Smale model with multiplicative white noises
- Emergent Behavior in Flocks
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
This page was built for publication: APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY
