Related papers: Finance from the viewpoint of physics
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
Finite differences have been widely used in mathematical theory as well as in scientific and engineering computations. These concepts are constantly mentioned in calculus. Most frequently-used difference formulas provide excellent…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…
A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable…
An extension of the classical action principle obtained in the framework of the gauge transformations, is used to describe the motion of a particle. This extension assigns many, but not all, paths to a particle. Properties of the particle…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and generalizes previous results in Fadina et al. (2019) and…
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink…
Utilizing a non-equilibrium Green function like the generalized Kadanoff-Baym ansatz, a systematic perturbative method is presented to calculate the expectation value of an arbitrary physical quantity under the restriction that the Wigner…
This paper presents the contemporary Fundamental Theorem of Asset Pricing as being equivalent to approaches to pricing that emerged before 1700 in the context of Virtue Ethics. This is done by considering the history of science and…
Physics research complements traditional approaches, such as mathematical (stochastic) finance and econometrics in quantitative economics and finance. In the early years of this millennium, we embarked on an interdisciplinary research…
What forms will have an equations of modern physics if the dimensions of our time and space are fractional? The generalized equations enumerated by title are presented by help the generalized fractional derivatives of Riemann-Liouville.
The classical dynamics of a particle that is driven by a rapidly oscillating potential (with frequency $\omega$) is studied. The motion is separated into a slow part and a fast part that oscillates around the slow part. The motion of the…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
Real-time thermal field theory is known in the two flavors ``closed-time path formalism'' and ``thermo field dynamics''. With a certain choice of parameters the full two-point functions of these models are identical, hence a scheme to…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
We discuss some of the mathematical properties of the fractional derivative defined by means of Fourier transforms. We first consider its action on the set of test functions $\Sc(\mathbb R)$, and then we extend it to its dual set,…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…