Related papers: Path Integral and Asset Pricing
The very early universe is understood in terms of quantum field theories on curved spacetime, where the classical background spacetime is typically an FLRW cosmology and the quantum fields which propagate on it include gravitational waves…
The method of the factorization of the path integral measure, based on a nonlinear filtering equation, is extended to the case of a nonfree isometric action of the compact semisimple unimodular Lie group on a smooth compact Riemannian…
The overcompleteness of the coherent states basis leads to a multiplicity of representations of Feynman's path integral. These different representations, although equivalent quantum mechanically, lead to different semiclassical limits. Two…
In this paper we outline the construction of semiclassical eigenfunctions of integrable models in terms of the semiclassical path integral for the Poisson sigma model with the target space being the phase space of the integrable system. The…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
Free scalar field theory on a flat spacetime can be cast into a generally covariant form known as parametrised field theory in which the action is a functional of the scalar field as well as the embedding variables which describe arbitrary,…
We perform the canonical and path integral quantizations of a lower-order derivatives model describing Podolsky's generalized electrodynamics. The physical content of the model shows an auxiliary massive vector field coupled to the usual…
We give two novel proofs that the path integral and stochastic quantizations of generic scalar Euclidean quantum field theories are equivalent. Our proofs rely on Taylor interpolations indexed by forests, in the fashion of constructive…
In this work, we study the Quantum Field Theory version of the higher derivative Pais-Uhlenbeck oscillator. We quantize canonically this system and construct its Fock space, as well as study its path integral. We demonstrate that the…
Tracking a financial index boils down to replicating its trajectory of returns for a well-defined time span by investing in a weighted subset of the securities included in the benchmark. Picking the optimal combination of assets becomes a…
We study different aspects the worldline path integrals with gauge fields using quantum computing. We use the Variational Quantum Eigensolver (VQE) and Evolution of Hamiltonian (EOH) quantum algorithms and IBM QISKit to perform our…
The path integral formulation in quantum mechanics corresponds to the first quantization since it is just to rewrite the quantum mechanical amplitude into many dimensional integrations over discretized coordinates $x_n$. However, the path…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
In this master thesis, a new approximation scheme to non-relativistic potential scattering is developed and discussed. The starting points are two exact path integral representations of the T-matrix, which permit the application of the…
We develop a new semiclassical approach, which starts with the density matrix given by the Euclidean time path integral with fixed coinciding endpoints, and proceed by identifying classical (minimal Euclidean action) path, to be referred to…
We introduce, for the first time, bicoherent-state path integration as a method for quantizing non-hermitian systems. Bicoherent-state path integrals arise as a natural generalization of ordinary coherent-state path integrals, familiar from…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…
The path integral formulation can reproduce the right energy spectrum of the harmonic oscillator potential, but it cannot resolve the Coulomb potential problem. This is because the path integral cannot properly take into account the…
The path integral formulation of constrained systems leads to obtain the equations of motion as total differential equations in many variables. If these equations are integrable then one can constuct a valid and a canonical phase space…