Related papers: Quadratic Volatility from the P\"oschl-Teller Pote…
We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales…
Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schr\"odinger group. In order to do this, the one dimensional free…
We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear…
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…
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…
We establish a deep connection between the Prandtl equations linearised around a quadratic shear flow, confluent hypergeometric functions of the first kind, and the Schr\"odinger operator. Our first result concerns an ODE and a spectral…
The Group Quantization formalism is a scheme for constructing a functional space that is an irreducible infinite dimensional representation of the Lie algebra belonging to a dynamical symmetry group. We apply this formalism to the…
Black-Scholes implied volatility is a quantile. The insight follows from the normalized option price being a probability on the variance scale, with the inverse Gaussian distribution providing the link. It enables analytically exact and…
We develop a modified semi-classical approach to the approximate solution of Schrodinger's equation for certain nonlinear quantum oscillations problems. At lowest order, the Hamilton-Jacobi equation of the conventional semi-classical…
The stochastic formalism of inflation allows us to describe the scalar-field dynamics in a non-perturbative way. The correspondence between the diffusion and Schr\"{o}dinger equations makes it possible to exhaustively construct analytical…
Motivated by Heisenberg's observable-only stance, we replace latent "information" (filtrations, hidden diffusions, state variables) with observable transitions between price states. On a discrete price lattice with a Hilbert-space…
In this paper, we derive a general asymptotic implied volatility at the first-order for any stochastic volatility model using the heat kernel expansion on a Riemann manifold endowed with an Abelian connection. This formula is particularly…
A prolate $\gamma$-rigid version of the Bohr-Mottelson Hamiltonian with a quartic anharmonic oscillator potential in $\beta$ collective shape variable is used to describe the spectra for a variety of vibrational-like nuclei. Speculating the…
We propose a Wigner quasiprobability distribution function for Hamiltonian systems in spaces of constant curvature --in this paper on hyperboloids--, which returns the correct marginals and has the covariance of the Shapiro functions under…
We briefly review the analytical continuation method for determining quasinormal modes (QNMs) and the associated frequencies in open systems. We explore two exactly solvable cases based on the P\"oschl-Teller potential to show that the…
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…
We investigate the asymptotic behaviour of the implied volatility in the Bachelier setting, extending the large-strike results established for the Black-Scholes framework. Exploiting the theory of regular variation, we derive explicit…
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is…
The formalism of exact 1D quantization is reviewed in detail and applied to the spectral study of three concrete Schr\"odinger Hamiltonians $[-\d^2/\d q^2 + V(q)]^\pm$ on the half-line $\{q>0\}$, with a Dirichlet (-) or Neumann (+)…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…