Related papers: Path Integral and Asset Pricing
Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on…
A quantum measurement model based upon restricted path-integrals allows us to study measurements of generalized position in various one-dimensional systems of phenomenological interest. After a general overview of the method we discuss the…
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
It is discussed an opportunity to introduce new class of quantum algorithms based on possibility to express amplitude of transition between two states of quantum system as sum of some function along all possible classical paths. Continuous…
Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent.…
Using a recent path integral representation for the T-matrix in nonrelativistic potential scattering we investigate new variational approximations in this framework. By means of the Feynman-Jensen variational principle and the most general…
Path integral-based simulation methodologies play a crucial role for the investigation of nuclear quantum effects by means of computer simulations. However, these techniques are significantly more demanding than corresponding classical…
Picard--Lefschetz theory is applied to path integrals of quantum mechanics, in order to compute real-time dynamics directly. After discussing basic properties of real-time path integrals on Lefschetz thimbles, we demonstrate its…
We present a way for calculating the Lagrangian path integral measure directly from the Hamiltonian Schwinger--Dyson equations. The method agrees with the usual way of deriving the measure, however it may be applied to all theories, even…
On the basis of the canonical quantization procedure of a system defined on a cubic lattice, we propose a new method, in which resolutions of unity expressed in terms of eigenvectors are naturally provided, to find eigenvectors of field…
A fully regulated definition of Feynman's path integral is presented here. The proposed re-formulation of the path integral coincides with the familiar formulation whenever the path integral is well-defined. In particular, it is consistent…
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial…
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…
We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market price of a set of European options will be given by a diffusive pricing model, then the discrete-time gamma-hedging…
The cvariant path integral quantization of the theory of the scalar and spinor particles interacting through the abelian and non-Abelian Chern-Simons gauge fields is carried out and is shown to be mathematically ill defined due to the…
We explore a new approach to the path integral for a latticized quantum theory. This talk is based on work with N. Khuri and H. Ren.
Path integrals represent a powerful route to quantization: they calculate probabilities by summing over classical configurations of variables such as fields, assigning each configuration a phase equal to the action of that configuration.…
The one-sided bouncer and the symmetric bouncer involve a one-dimensional particle in a piecewise linear potential. For such problems, the time-dependent quantum mechanical propagator cannot be found in closed form. The semiclassical…
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable Hilbert space without imposing any probabilistic structure.…