Vector financial rogue waves
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Abstract: The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a coupled nonlinear wave alternative of the Black-Scholes option pricing model. In this short report, we analytically propose the two-component financial rogue waves of the coupled nonlinear volatility and option pricing model without an embedded w-learning. Moreover, we exhibit their dynamical behaviors for chosen different parameters. The two-component financial rogue wave solutions may be used to describe the possible physical mechanisms for the rogue wave phenomena and to further excite the possibility of relative researches and potential applications of rogue waves in the financial markets and other related fields.
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Cites work
- Financial rogue waves
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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Cited in
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- Rogue wave for the (3+1)-dimensional Yu-Toda-Sasa-Fukuyama equation
- Solitary waves, homoclinic breather waves and rogue waves of the (3 + 1)-dimensional Hirota bilinear equation
- General high-order rogue waves to nonlinear Schrödinger-Boussinesq equation with the dynamical analysis
- Vector rational and semi-rational rogue waves for the coupled cubic-quintic nonlinear Schrödinger system in a non-Kerr medium
- Lump and interaction solutions to the \((2+1)\)-dimensional Burgers equation
- Hybrid solutions of (3 + 1)-dimensional Jimbo-Miwa equation
- Characteristics of solitary wave, homoclinic breather wave and rogue wave solutions in a (2+1)-dimensional generalized breaking soliton equation
- Higher-order rational solitons and rogue-like wave solutions of the \((2+1)\)-dimensional nonlinear fluid mechanics equations
- Rogue wave and a pair of resonance stripe solitons to a reduced (3+1)-dimensional Jimbo-Miwa equation
- Lump-stripe interaction solutions to the potential Yu-Toda-Sasa-Fukuyama equation
- Characteristics of abundant lumps and interaction solutions in the (4+1)-dimensional nonlinear partial differential equation
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Multi-component nonlinear Schrödinger equations with nonzero boundary conditions: higher-order vector Peregrine solitons and asymptotic estimates
- Semi-rational vector rogon-soliton solutions of the five-component Manakov/NLS system with mixed backgrounds
- Spatial self-similar transformation and novel line rogue waves in the Fokas system
- Rational vector rogue waves for the \(n\)-component Hirota equation with non-zero backgrounds
- Breathers on elliptic function background for a generalized nonlinear Schrödinger equation with higher-order terms
- Computing solitary wave solutions of coupled nonlinear Hirota and Helmholtz equations
- Breather wave and traveling wave solutions for \(A\) \((2 + 1)\)-dimensional KdV4 equation
- Hidden Akhmediev breathers and vector modulation instability in the defocusing regime
- Interactions of localized wave and dynamics analysis in generalized derivative nonlinear Schrödinger equation
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- Higher-order rational solutions for a new integrable nonlocal fifth-order nonlinear Schrödinger equation
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- The NLS\((n,n)\) equation: multi-hump compactons and their stability and interaction scenarios
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- Characteristics of rogue waves on a periodic background for the Hirota equation
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- The twin properties of rogue waves and homoclinic solutions for some nonlinear wave equations
- New rational and breather solutions of a higher-order integrable nonlinear Schrödinger equation
- Darboux-Bäcklund transformation and localized excitation on the periodic wave background for the nonlinear Schrödinger equation
- Multiple lump solutions of the (3+1)-dimensional potential Yu-Toda-Sasa-Fukuyama equation
- Rogue waves, breather waves and solitary waves for a (3+1)-dimensional nonlinear evolution equation
- Novel rogue waves and dynamics in the integrable pair-transition-coupled nonlinear Schrödinger equation
- Darboux transformations and exact solutions for the integrable nonlocal Lakshmanan-Porsezian-Daniel equation
- Dynamic behaviors of interaction solutions of (3 + 1)-dimensional shallow water wave equation
- Solitons in coupled nonlinear Schrödinger equations with variable coefficients
- Rogue wave and multiple lump solutions of the \((2+1)\)-dimensional Benjamin-Ono equation in fluid mechanics
- Localized waves and interaction solutions to a \((3+1)\)-dimensional generalized KP equation
- Rogue wave for the (\(2 + 1\))-dimensional Kadomtsev-Petviashvili equation
- Characteristics of the solitary waves and rogue waves with interaction phenomena in a generalized (3+1)-dimensional Kadomtsev-Petviashvili equation
- Rational solutions to two- and one-dimensional multicomponent Yajima-Oikawa systems
- Novel higher-order rational solitons and dynamics of the defocusing integrable nonlocal nonlinear Schrödinger equation via the determinants
- Abundant rogue wave solutions for the (2 + 1)-dimensional generalized Korteweg-de Vries equation
- Semi-rational vector rogon-soliton solutions and asymptotic analysis for any \(n\)-component nonlinear Schrödinger equation with mixed boundary conditions
- Non-degenerate multi-rogue waves and easy ways of their excitation
- The breather-like and rational solutions for the integrable Kadomtsev-Petviashvili-based system
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- Vector solitons of a coupled Schrödinger system with variable coefficients
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- Characteristics of the breather and rogue waves in a (2+1)-dimensional nonlinear Schrödinger equation
- On quasi-periodic waves and rogue waves to the \((4+1)\)-dimensional nonlinear Fokas equation
- Modulational instability and dynamics of multi-rogue wave solutions for the discrete Ablowitz-Ladik equation
- Rogue waves, rational solitons, and modulational instability in an integrable fifth-order nonlinear Schrödinger equation
- Modulational instability and higher-order rogue waves with parameters modulation in a coupled integrable AB system via the generalized Darboux transformation
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- Semi-rational solutions of the third-type Davey-Stewartson equation
- The \(n\)-component nonlinear Schrödinger equations: dark-bright mixed \(N\)- and high-order solitons and breathers, and dynamics
- Solitary waves and rogue waves in a plasma with nonthermal electrons featuring Tsallis distribution
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- Novel rogue waves for a mixed coupled nonlinear Schrödinger equation on Darboux-dressing transformation
- Higher-order semi-rational solutions for the coupled complex modified Korteweg-de Vries equation
- On the breathers and rogue waves to a (2+1)-dimensional nonlinear Schrödinger equation with variable coefficients
- Constructing rogue wave prototypes of nonlinear evolution equations via an extended tanh method
- On the breather waves, rogue waves and solitary waves to a generalized (2+1)-dimensional Caudrey-Dodd-Gibbon-Kotera-Sawada equation
- Interactional solutions of the extended nonlinear Schrödinger equation with higher-order operators
- The general coupled Hirota equations: modulational instability and higher-order vector rogue wave and multi-dark soliton structures
- Nonlinear self-dual network equations: modulation instability, interactions of higher-order discrete vector rational solitons and dynamical behaviours
- Dynamics of the breathers, rogue waves and solitary waves in the (2+1)-dimensional Ito equation
- A weakly coupled Hirota equation and its rogue waves
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- Breather and nondegenerate solitons in the two-component modified Korteweg-de Vries equation
- Vector semi-rational rogon-solitons and asymptotic analysis for any multi-component Hirota equations with mixed backgrounds
- Deep learning soliton dynamics and complex potentials recognition for 1D and 2D \(\mathcal{PT}\)-symmetric saturable nonlinear Schrödinger equations
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