Phase transition in a log-normal Markov functional model

DOI10.1063/1.3526679zbMath1314.82016arXiv1007.0691OpenAlexW3124495278MaRDI QIDQ5256183

Dan Pirjol

Publication date: 22 June 2015

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.0691

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Phase transitions (general) in equilibrium statistical mechanics (82B26) Critical phenomena in equilibrium statistical mechanics (82B27) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Explosive Behavior in the Black–Derman–Toy Model ⋮ Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model ⋮ Inequality of chances as a symmetry phase transition ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL

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• Interest rate models -- theory and practice. With smile, inflation and credit
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• On truncated Taylor series and the position of their spurious zeros
• MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE
• Statistical Theory of Equations of State and Phase Transitions. II. Lattice Gas and Ising Model
• Markov-functional interest rate models

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