The financial rogue waves are reported analytically in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These solutions may be used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

Financial rogue waves

We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black—Scholes model. These rogue wave solutions may he used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

https://iopscience.iop.org/article/10.1088/0253-6102/54/5/31/pdf

Financial Rogue Waves

Vector financial rogue waves

The appearance of rogue waves is well known in oceanographics, optics, and cold matter systems. Here we show a possibility for the existence of atmospheric rogue waves.

Rogue waves in the atmosphere

We construct explicit rogue wave solutions, breather solitons, and rogue-bright-dark solutions for the coupled non-linear Schrodinger equations by the Darboux transformation.

http://iopscience.iop.org/article/10.1088/0256-307X/28/11/110202/pdf

Rogue Wave, Breathers and Bright-Dark-Rogue Solutions for the Coupled Schrödinger Equations

Oceanic rogue waves are surface gravity waves whose wave heights are much larger than expected for the sea state. The common operational definition requires them to be at least twice as large as the significant wave height. In most circumstances, the properties of rogue waves and their probability of occurrence appear to be consistent with second-order random-wave theory. There are exceptions, although it is unclear whether these represent measurement errors or statistical flukes, or are caused by physical mechanisms not covered by the model. A clear deviation from second-order theory occurs in numerical simulations and wave-tank experiments, in which a higher frequency of occurrence of rogue waves is found in long-crested waves owing to a nonlinear instability.

Peter Müller

Papers

Oceanic Rogue Waves