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In a system containing a large number of interacting stochastic processes, there will typically be many nonzero correlation coefficients. This makes it difficult to either visualize the system's interdependencies, or identify its dominant elements. Such a situation arises in foreign exchange (FX), which is the world's biggest market. Here we develop a(More)
Networks are a convenient way to represent complex systems of interacting entities. Many networks contain " communities " of nodes that are more densely connected to each other than to nodes in the rest of the network. In this paper, we investigate the detection of communities in temporal networks represented as multilayer networks. As a focal example, we(More)
This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk. As an example, and as our main motivation, we investigate option pricing under the class(More)
We discuss the 'continuity correction' that should be applied to connect the prices of discretely sampled American put options (i.e. Bermudan options) and their continuously-sampled equivalents. Using a matched asymptotic expansions approach we compute the correction and relate it to that discussed by Broadie, Glasserman & Kou (Mathematical Finance 7, 325(More)
We discuss the 'continuity correction' that should be applied to relate the prices of discretely sampled barrier options and their continuously-sampled equivalents. Using a matched asymptotic expansions approach we show that the correction of Broadie, Glasserman & Kou (Mathematical Finance 7, 325 (1997)) can be applied in a very wide variety of cases. We(More)
The dynamical evolution of many economic, sociological, biological, and physical systems tends to be dominated by a relatively small number of unexpected, large changes ("extreme events"). We study the large, internal changes produced in a generic multiagent population competing for a limited resource, and find that the level of predictability increases(More)