Stochastic processes offer a fundamentally different paradigm of dynamics than
deterministic processes that one is most familiar with, the most prominent example of the …

We derive. the ensemble-and time-averaged mean-squared displacements (MSD, TAMSD)
for Poisson-reset geometric Brownian motion (GBM), in agreement with simulations. We find …

How different are the results of constant-rate resetting of anomalous-diffusion processes in
terms of their ensemble-averaged versus time-averaged mean-squared displacements …

How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the
future? Specifically, what are the long-time properties of a time-local exponential growth of …

A reset put option is similar to a standard put option except that the exercise price is reset
equal to the stock price on the pre‐specified reset date if this stock price exceeds the original …

The area of derivatives is arguably the most fascinating area within financial economics
during the past thirty years. This chapter reviews the evolution of derivatives contract …

Moving‐average‐type options are complex path‐dependent derivatives whose payoff
depends on the moving average of stock prices. This article concentrates on two such …

This article makes two contributions to the literature. The first contribution is to provide the
closed‐form pricing formulas of reset options with strike resets and predecided reset dates …

Recently, a new formalism describing the anomalous diffusion processes, based on the
Onsager-Machlup fluctuation theory, has been suggested\cite {Smain, Spub}. We study …

The regulations governing asset distributions from many retirement plans give participants
the option to time retirement or rollovers from the plan strategically. They possess a long …