Welcome to a non-Black-Scholes world

Article: https://www.tandfonline.com/toc/rquf20/1/5?nav=tocList

Wealth condensation in a simple model of economy

E-print: http://arxiv.org/abs/cond-mat/0002374

V-, U-, L-, or W-shaped recovery after COVID? Insights from an Agent Based Model

E-print: https://arxiv.org/abs/2006.08469

 

Tipping points in macroeconomic agent-based models

E-print: http://arxiv.org/abs/1307.5319

The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

The skewed multifractal random walk with applications to option smiles

E-print: https://arxiv.org/abs/cond-mat/0204047

The endogenous dynamics of markets: price impact and feedback loops

E-print: http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.2928v1.pdf

The dynamics of financial markets - Mandelbrot's multifractal cascades, and beyond

E-print: http://arxiv.org/abs/cond-mat/0501292

The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

E-print: https://hal.archives-ouvertes.fr/jpa-00246951/document

The (unfortunate) complexity of the economy

E-print: http://arxiv.org/abs/0904.0805

Sudden trust collapse in networked societies

E-print: http://arxiv.org/abs/1409.8321

Sticky Expectations and the Profitability Anomaly

E-print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2742730

Self-referential behaviour, overreaction and conventions in financial markets

E-print: http://arxiv.org/abs/cond-mat/0303584

Real-world options: smile and residual risk

E-print: http://arxiv.org/abs/cond-mat/9509095

Rational Decisions, Random Matrices and Spin Glasses

E-print: http://arxiv.org/abs/cond-mat/9801209

Quadratic Hawkes processes for financial prices

Power-laws in economics and finance: some ideas from physics

E-print: http://arxiv.org/abs/cond-mat/0008103

Population dynamics in a random environment

Option pricing in the presence of extreme fluctuations

Option pricing and hedging with temporal correlations

E-print: https://arxiv.org/abs/cond-mat/0011506