Related papers: Finite quantum mechanical model for the stock mark…
In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
We investigate the performance and accuracy of digital quantum algorithms for the study of static and dynamic properties of the fermionic Hubbard model at half-filling with next-nearest neighbour hopping terms. We provide quantum circuits…
The principle of relativity is extended to accommodate finite-mass observers with quantum properties by introducing two operational requirements: (i) equivalence of observers at the level of transition amplitudes, and (ii) the impossibility…
We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The random matrix ensembles are applied to the quantum statistical two-dimensional systems of electrons. The quantum systems are studied using the finite dimensional real, complex and quaternion Hilbert spaces of the eigenfunctions. The…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
We introduce a general method for transforming the equations of motion following from a Das-Jevicki-Sakita Hamiltonian, with boundary conditions, into a boundary value problem in one-dimensional quantum mechanics. For the particular case of…
The Glauber model is reconsidered based on a quantum formulation of the Master equation. Unlike the conventional approach the temperature and the Ising energy are included from the beginning by introducing a Heisenberg-like picture of the…
A simple but nontrivial class of the quantum strategies in buying-selling games is presented. The player moves are a rational buying and an unconditional selling. The possibility of gaining extremal profits in such the games is considered.…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…
In quantum computation, series of quantum gates have to be arranged in a predefined sequence that led to a quantum circuit in order to solve a particular problem. What if the sequence of quantum gates is known but both the problem to be…
We derive the Hilbert space formalism of quantum mechanics from epistemic principles. A key assumption is that a physical theory that relies on entities or distinctions that are unknowable in principle gives rise to wrong predictions. An…
The local conservation of a physical quantity whose distribution changes with time is mathematically described by the continuity equation. The corresponding time parameter, however, is defined with respect to an idealized classical clock.…
Quantum mechanics started out as a theory to describe the smallest scales of energy in Nature. After a hundred years of development it is now routinely employed to describe, among others, quantum computers with thousands of qubits. This…
We study the quantum cosmology of a quadratic $f(R)$ theory with a FRW metric, via one of its equivalent Horndeski type actions, where the dynamics of the scalar field is induced. The classical equations of motion and the Weeler-deWitt…