Related papers: Fundamental theorem for quantum asset pricing
This paper describes an approach to economics that is inspired by quantum computing, and is motivated by the need to develop a consistent quantum mathematical framework for economics. The traditional neoclassical approach assumes that…
A new constructivist approach to modeling in economics and theory of consciousness is proposed. The state of elementary object is defined as a set of its measurable consumer properties. A proprietor's refusal or consent for the offered…
A crucial goal of quantum information is to find new ways to exploit the properties of quantum devices as resources. One of the prominent properties of quantum devices of particular interest is their negativity in quasi-probability…
We give an upper bound on the resources required for valuable quantum advantage in pricing derivatives. To do so, we give the first complete resource estimates for useful quantum derivative pricing, using autocallable and Target Accrual…
In quantum physics, the density operator completely describes the state. Instead, in classical physics the mean value of every physical quantity is evaluated by means of a probability distribution. We study the possibility to describe pure…
Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…
We present a general theory of quantum information processing devices, that can be applied to human decision makers, to atomic multimode registers, or to molecular high-spin registers. Our quantum decision theory is a generalization of the…
Quantum computing is becoming strategically relevant to finance because several core financial bottlenecks are already defined by combinatorial search, expectation estimation, rare-event analysis, representation learning, and long-horizon…
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We present a quantum algorithm for European option pricing in finance, where the key idea is to work in the unary representation of the asset value. The algorithm needs novel circuitry and is divided in three parts: first, the amplitude…
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…
Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density $f\left( x\right) \simeq f_{0}x^{-2}$, with the coefficient depending on the means and variances of the numerator…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
Quantum computing promises the ability to compute properties of quantum systems exponentially faster than classical computers. Quantum advantage is achieved when a practical problem is solved more efficiently on a quantum computer than on a…
A simple but nontrivial class of the quantum strategies in buying-selling games is presented. The player moves are a rational buying and an unconditional selling. The possibility of gaining extremal profits in such the games is considered.…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…
In this note, a non-commutative analogue of the fundamental theorem of asset pricing in mathematical finance is proved.