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Mode-Coupling Approximations, Glass Theory and Disordered Systems
Jean-Philippe Bouchaud, Leticia Cugliandolo, Jorge Kurchan +1
We discuss the general link between mode-coupling like equations (which serve as the basis of some recent theories of supercooled liquids) and the dynamical equations governing mea…
Stock market crashes, Precursors and Replicas
Didier Sornette, Anders Johansen, Jean-Philippe Bouchaud
We present an analysis of the time behavior of the (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precurso…
Real-world options: smile and residual risk
Jean-Philippe Bouchaud, Giulia Iori, Didier Sornette
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 pred…
ON A DYNAMICAL MODEL OF GLASSES
Jean-Philippe Bouchaud, Alain Comtet, Cécile Monthus
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 parti…
SCALING AND INTERMITTENCY IN BURGERS' TURBULENCE
J. P. Bouchaud, M. Mezard, G. Parisi
We use the mapping between Burgers' equation and the problem of a directed polymer in a random medium in order to study the fully developped turbulence in the dimensional force…