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Optimal closing of a pair trade with a model containing jumps

Stig Larsson, Carl Lindberg, Marcus Warfheimer (2013)

Applications of Mathematics

A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely used investment strategy in the financial industry. Recently, Ekström, Lindberg, and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In the present work the model is generalized to also include jumps. More precisely, we assume that the difference between the assets is an...

Pattern and Waves for a Model in Population Dynamics with Nonlocal Consumption of Resources

S. Genieys, V. Volpert, P. Auger (2010)

Mathematical Modelling of Natural Phenomena

We study a reaction-diffusion equation with an integral term describing nonlocal consumption of resources in population dynamics. We show that a homogeneous equilibrium can lose its stability resulting in appearance of stationary spatial structures. They can be related to the emergence of biological species due to the intra-specific competition and random mutations. Various types of travelling waves are observed.

Periodic and Almost Periodic Solutions of Integral Inclusions

Radosław Pietkun (2010)

Bulletin of the Polish Academy of Sciences. Mathematics

The existence of a continuous periodic and almost periodic solutions of the nonlinear integral inclusion is established by means of the generalized Schauder fixed point theorem.

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