Related papers: A Path Integral Approach for Time-Dependent Hamilt…

The Liouville equation differs from the von Neumann equation 'only' by a characteristic superoperator. We demonstrate this for Hamiltonian dynamics, in general, and for the Jaynes-Cummings model, in particular. -- Employing superspace…

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…

Inspired by the usefulness of local scaling of time in the path integral formalism, we introduce a new kind of hamiltonian path integral in this paper. A special case of this new type of path integral has been earlier found useful in…

The book deals with a stochastic formulation of path integration in real time, by rotating the_space_ variables over exp(i pi/4). Preliminary chapters deal with quantum and classical mechanics, probability theory and stochastic calculus,…

In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent…

We review equivariant localization techniques for the evaluation of Feynman path integrals. We develop systematic geometric methods for studying the semi-classical properties of phase space path integrals for dynamical systems, emphasizing…

This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously complex because discrete dividends create abrupt price drops and…

We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or…

This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…

We build a setup for path integral quantization through the Faddeev-Jackiw approach, extending it to include Grassmannian degrees of freedom, to be later implemented in a model of generalized electrodynamics that involves fourth-order…

This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…

We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market price of a set of European options will be given by a diffusive pricing model, then the discrete-time gamma-hedging…

A specific class of explicitly time-dependent potentials is studied by means of path integrals. For this purpose a general formalism to treat explicitly time-dependent space-time transformations in path integrals is sketched. An explicit…

We consider the Euclidean path integral approach to higher-derivative theories proposed by Hawking and Hertog (Phys. Rev. D65 (2002), 103515). The Pais-Uhlenbeck oscillator is studied in some detail. The operator algebra is reconstructed…

We construct a path distribution representing the kinetic part of the Feynman path integral at discrete times similar to that defined by Thomas [1], but on a Hilbert space of paths rather than a nuclear sequence space. We also consider…

Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…

Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…

The method for quantization of constrained theories that was suggested originally by Faddeev and Jackiw along with later modifications is discussed. The particular emphasis of this paper is to show how it is simple to implement their method…

Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some…

This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…