Related papers: Path Integral and Asset Pricing
In this paper, we have constructed the Feynman path integral method for non-paraxial optics. This is done by using the mathematical analogy between a non-paraxial optical system and the generalized Schr\"odinger equation deformed by the…
We propose a new way to perform path integrals in quantum mechanics by using a quantum version of Hamilton-Jacobi theory. In classical mechanics, Hamilton-Jacobi theory is a powerful formalism, however, its utility is not explored in…
A method for nonperturbative path integral calculation is proposed. Quantum mechanics as a simplest example of a quantum field theory is considered. All modes are decomposed into hard (with frequencies $\omega^2 >\omega^2_0$) and soft (with…
This paper provides a pedagogical introduction to the quantum mechanical path integral and its use in proving index theorems in geometry, specifically the Gauss-Bonnet-Chern theorem and Lefschetz fixed point theorem. It also touches on some…
A simplified model of tachyon matter in classical and quantum mechanics is constructed. p-Adic path integral quantization of the model is considered. Recent results in using p-adic analysis, as well as perspectives of an adelic…
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds. The resulting formula is…
We derive a semi-analytical form for the Wigner transform for the canonical density operator of a discrete system coupled to a harmonic bath based on the path integral expansion of the Boltzmann factor. The introduction of this simple and…
Scalar field systems containing higher derivatives are studied and quantized by Hamiltonian path integral formalism. A new point to previous quantization methods is that field functions and their derivatives with time are considered as…
Many interesting physical theories have analytic classical actions. We show how Feynman's path integral may be defined non-perturbatively, for such theories, without a Wick rotation to imaginary time. We start by introducing a class of…
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}. Using the formulation of this pricing problem under the…
In this paper I show how path integral techniques can be used to put measures on histories in "susceptible-infectious-recovered" (SIR)-type systems. The standard SIR solution emerges as the classical saddle point of the action describing…
We develop the path integral formalism for studying cosmological perturbations in multi-field inflation, which is particularly well suited to study quantum theories with gauge symmetries such as diffeomorphism invariance. We formulate the…
The paper focuses on pricing European-style options on several underlying assets under the Black-Scholes model represented by a nonstationary partial differential equation. The proposed method combines the Galerkin method with…
Richard Feynman's method of path integrals is based on the fundamental assumption that a system starting at a point A and arriving at a point B takes all possible paths from A to B, with each path contributing its own (complex) probability…
Feynman's path integral approach is to sum over all possible spatio-temporal paths to reproduce the quantum wave function and the corresponding time evolution, which has enormous potential to reveal quantum processes in classical view.…
The semiclassical Euclidean path integral method is applied to compute the low temperature quantum decay rate for a particle placed in the metastable minimum of a cubic potential in a {\it finite} time theory. The classical path, which…
We consider the form of the path integral that follows from canonical quantization and apply it to the first order form of the Einstein-Hilbert action in $d > 2$ dimensions. We show that this is inequivalent to what is obtained from…
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…
Trajectories are a central concept in our understanding of classical phenomena and also in rationalizing quantum mechanical effects. In this work we provide a way to determine semiclassical paths, approximations to quantum averages in phase…
Dimerized quantum spin systems may appear under several circumstances, e.g\ by a modulation of the antiferromagnetic exchange coupling in space, or in frustrated quantum antiferromagnets. In general, such systems display a quantum phase…