Related papers: Gauge Invariance, Geometry and Arbitrage
The concept of gauge invariance is one of the most subtle and useful concepts in modern theoretical physics. It is one of the Standard Model cornerstones. The main benefit due to the gauge invariance is that it can permit the comprehension…
We assume that markovian dynamics on a finite graph enjoys a gauge symmetry under local scalings of the probability density, derive the transformation law for the transition rates and interpret the thermodynamic force as a gauge potential.…
The issue of local gauge invariance in the simplicial lattice formulation of gravity is examined. We exhibit explicitly, both in the weak field expansion about flat space, and subsequently for arbitrarily triangulated background manifolds,…
General Relativity is usually formulated as a theory with gauge invariance under the diffeomorphism group, but there is a 'dilaton' formulation where it is in addition invariant under Weyl transformations, and a 'unimodular' formulation…
I derive the stochastic equation for the perturbations of the metric for a gauge - invariant energy - momemtum - tensor (EMT) in stochastic inflation. A quantization for the field that describes the gauge - invariant perturbations for the…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
In this paper we state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modelling of realistic price processes is considered for an example of S&P500 market…
Gauge symmetries play a fundamental role in Physics, as they provide a mathematical justification for the fundamental forces. Usually, one starts from a non-interactive theory which governs `matter', and features a global symmetry. One then…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…
We study the gauge invariance of laser-matter interaction. The velocity gauge where the vector potential is expanded to the $n$-th order with respect to the spatial coordinate, and the length gauge where the electric and magnetic fields are…
Most insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as hybrid products like equity-linked life insurance and variable annuities -- directly to stocks or indices. However, insurance contracts…
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
We give a short outline, in Sec.\ 2, of the historical development of the gauge idea as applied to internal ($U(1),\, SU(2),\dots$) and external ($R^4,\,SO(1,3),\dots$) symmetries and stress the fundamental importance of the corresponding…
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and…
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time $\tau$. Under minimal assumptions on the random time and on the…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl.…
We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and…
We consider the invariant measure of a homogeneous continuous- time Markov process in the quarter-plane. The basic solutions of the global balance equation are the geometric distributions. We first show that the invariant measure can not be…
Absolute space is eliminated from the body of mechanics by gauging translations and rotations in the Lagrangian of a classical system. The procedure implies the addition of compensating terms to the kinetic energy, in such a way that the…