Related papers: Relativistic Quantum Finance
It was demonstrated previously that the stochastic volatility emerges as the gauge field necessary for restoring the local symmetry under changes of the prices of the stocks inside the Black-Scholes (BS) equation. When this occurs, then a…
This article develops a variational formulation for the relativistic Klein-Gordon equation. The main results are obtained through an extension of the classical mechanics approach to a more general context, which in some sense, includes the…
It is well-known that the Black-Scholes formula has been derived under the assumption of constant volatility in stocks. In spite of evidence that this parameter is not constant, this formula is widely used by financial markets. This paper…
This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation…
Theories of gravity in which the metric is fundamentally classical predict stochastic fluctuations in the gravitational field. In this article, we study the stochastic Klein-Gordon equation as a starting point to understand the…
We generalize the recently proposed quantum model for the stock market by Zhang and Huang to make it consistent with the discrete nature of the stock price. In this formalism, the price of the stock and its trend satisfy the generalized…
We derive an extremal fractional Gaussian by employing the L\'evy-Khintchine theorem and L\'evian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and…
We quantize the linearised Einstein-Klein-Gordon system on arbitrary on-shell backgrounds in a manifestly covariant and gauge-invariant manner. For the special case of perturbations in Inflation, i.e. on-shell backgrounds of…
A succinct presentation of the algebraic structure of the quantized Klein-Gordon field can be given in terms of a Lorentz invariant inner product. A presentation of a classical Klein-Gordon \emph{random} field at non-zero temperature can be…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
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…
Recently it was demonstrated that by adding to the Einstein-Hilbert action a series in powers of the curvature invariants with specially chosen coefficients one can obtain a theory of gravity which has spherically symmetric solutions…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
The Klein-Gordon equation is shown to be equivalent to coupled partial differential equations for a sub-quantum Brownian movement of a ''particle'', which is both passively affected by, and actively affecting, a diffusion process of its…
We construct an exactly solvable relativistic model that embeds the anomalous inverse-square interaction into a non-Hermitian Klein-Gordon field theory through a purely imaginary, scale-invariant scalar potential. The stationary field…
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As…
In this paper, the suggested similarity between micro and macro-cosmos is extended to quantum behavior, postulating that quantum mechanics, like general relativity and classical electrodynamics, is invariant under discrete scale…
In the Jacobson formalism general relativity is obtained from thermodynamics. This is done by using the Bekenstein-Hawking entropy-area relation. However, as a black holes will gets smaller, its temperature will increase. This will cause…