arXiv subjects
Publications and source records attributed to Jean-Philippe Bouchaud.
We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk associated with optimal (but imperfect) hedging.
We analyze a simple dynamical model of glasses, based on the idea that each particle is trapped in a local potential well, which itself evolves due to hopping of neighbouring particles. The glass transition is signalled by the fact that the equilibrium distribution ceases to be normalisable, and dynamics becomes non-stationary. We generically find stretching of the correlation function at low temperatures and a Vogel-Fulcher like behaviour of the terminal time.
We analyse in detail Mott's variable range hopping in one dimension, expanding on earlier work by Raikh and Ruzin. We show that the large conductance fluctuations in disordered insulators result from a subtle interplay between purely quantum phenomena and geometrical fluctuations arising from the energies and locations of the impurities. Our results compare very well with both experiments and numerical simulations.