Related papers: Path Integral and Asset Pricing
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility: a historical volatility consistent with statistical…
The semiclassical approximation of the worldline path integral is a powerful tool to study nonperturbative electron-positron pair creation in spacetime-dependent background fields. Finding solutions of the classical equations of motion,…
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach…
The theory of large random matrices has proved an invaluable tool for the study of systems with disordered interactions in many quite disparate research areas. Widely applicable results, such as the celebrated elliptic law for dense random…
Feynman path integrals are now a standard tool in quantum physics and their use in differential geometry leads to new mathematical insights. A logical treatment of quantum phenomena seems to require a sustained mathematical analysis of path…
We consider Feynman's path integral approach to quantum mechanics with a noncommutativity in position and momentum sectors of the phase space. We show that a quantum-mechanical system with this kind of noncommutativity is equivalent to the…
Recently, the Lorentzian path integral formulation using the Picard-Lefschetz theory has attracted much attention in quantum cosmology. In this paper, we analyze the tunneling amplitude in quantum mechanics by using the Lorentzian…
We consider Euclidean path integrals with higher derivative actions, including those that depend quadratically on acceleration, velocity and position. Such path integrals arise naturally in the study of stiff polymers, membranes with…
The alternative dynamics of loop quantum cosmology is examined by the path integral formulation. We consider the spatially flat FRW models with a massless scalar field, where the alternative quantization inherit more features from full loop…
A contour integral method recently proposed by Weideman [IMA J. Numer. Anal., to appear] for integrating semi-discrete advection-diffusion PDEs, is extended for application to some of the important equations of mathematical finance. Using…
We present a path integral formulation of 't Hooft's derivation of quantum from classical physics. Our approach is based on two concepts: Faddeev-Jackiw's treatment of constrained systems and Gozzi's path integral formulation of classical…
Work belongs to the most basic notions in thermodynamics but it is not well understood in quantum systems, especially in open quantum systems. By introducing a novel concept of work functional along individual Feynman path, we invent a new…
I propose a path integral description of the Su-Schrieffer-Heeger Hamiltonian, both in one and two dimensions, after mapping the real space model onto the time scale. While the lattice degrees of freedom are classical functions of time and…
In this paper, we study the computation of sensitivities with respect to spot of path dependent financial derivatives by means of path weighting. We propose explicit path weighting formula and variance reduction adjustment in order to…
Path integrals are usually formulated in discrete Euclidean time using the Trotter formula. We propose a new method to study discrete quantum systems, in which we work directly in the Euclidean time continuum. The method is of general…
Quantum mechanics in conical space is studied by the path integral method. It is shown that the curvature effect gives rise to an effective potential in the radial path integral. It is further shown that the radial path integral in conical…
Simple bosonic path integral representation for path ordered exponent is derived. This representation is used, at first, to obtain new variant of non-Abelian Stokes theorem. Then new pure bosonic worldline path integral representations for…
A kink-based expression for the canonical partition function is developed using Feynman's path integral formulation of quantum mechanics and a discrete basis set. The approach is exact for a complete set of states. The method is tested on…
We derive the path integral of the semiclassical, one dimensional anharmonic Holstein model assuming that the electron motion takes place in a bath of non linear oscillators with quartic on site hard (and soft) potentials. The interplay…
Early efforts to understand complexity in field theory have primarily employed a geometric approach based on the concept of circuit complexity in quantum information theory. In a parallel vein, it has been proposed that certain deformations…