At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behavior is illustrated using London interbank offered...

A model of surface deconstruction in 1+1 dimensions is presented in this paper. The process of decay goes on only at surface sites in a reaction-limited regime and the statistical properties of surface sites are studied in comparison with the well-known results of the Eden growth. In particular,...

A growth model, in which the morphology of the clusters grown depends on temperature and disequilibrium, is presented. The model is a modified version of Kadanoff's pedestrian model. Sticking, rearrangement and evaporation compete with rates approapriate to the inverse temperature βJ and to the...

One of the most popular lottery games worldwide is the so-called “lotto k/N”. It considers N numbers 1,2,…,N from which k are drawn randomly, without replacement. A player selects k or more numbers and the first prize is shared amongst those players whose selected numbers match all of the...

The three- and four-site-correlation functions in a two-dimensional Ising-Peierls square lattice gas are computed by means of the cluster variation method (CVM) introduced by Kikuchi. The non-linear CVM equations are numerically solved and the values of several multi-site correlation functions...

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of...

We propose a simple stochastic exchange game mimicking taxation and redistribution. There are g agents and n coins; taxation is modeled by randomly extracting some coins; then, these coins are redistributed to agents following Polya's scheme. The individual wealth equilibrium distribution for...

Simple stochastic exchange games are based on random allocation of finite resources. These games are Markov chains that can be studied either analytically or by Monte Carlo simulations. In particular, the equilibrium distribution can be derived either by direct diagonalization of the transition...