We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to 0.5, but that it differs qualitatively from that of a simple randomâ€¦ (More)

This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of forward swap rates spanning a given tenor structure. We relate thisâ€¦ (More)

In the theoretical biology framework one fundamental problem is the so-called error catastrophe in Darwinian evolution models. We reexamine Eigen's fundamental equations by mapping them into aâ€¦ (More)

In the context of arbitrage-free modelling of Â…nancial derivatives, we introduce a novel calibration technique for models in the aÂ¢ ne-quadratic class for the purpose of over-the-counter optionâ€¦ (More)

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. Theâ€¦ (More)

We reconsider the Eigen's quasi-species model for competing self-reproductive macromolecules in populations characterized by a single-peaked fitness landscape. The use of ideas and tools borrowedâ€¦ (More)

Using a generalized transfer matrix method we exactly solve the SchrÃ¶dinger equation in a time periodic potential, with discretized Euclidean space-time. The ground state wave function propagates inâ€¦ (More)

We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the portfolio optimisationâ€¦ (More)