Related papers: Quantum-Theoretical Re-interpretation of Pricing T…
In a global derivatives market with notional values in the hundreds of trillions of dollars, the accuracy and efficiency of pricing models are of fundamental importance, with direct implications for risk management, capital allocation, and…
We show that partial transposition for pure and mixed two-particle states in a discrete $N$-dimensional Hilbert space is equivalent to a change in sign of a "momentum-like" variable of one of the particles in the Wigner function for the…
We give a simple argument that, for a large class of jump operators, the Lindblad evolution can be written as a gradient flow in the space of density operators acting on a Hilbert space of dimension $D$. We give explicit expressions for the…
Certain aspects of some unitary quantum systems are well-described by evolution via a non-Hermitian effective Hamiltonian, as in the Wigner-Weisskopf theory for spontaneous decay. Conversely, any non-Hermitian Hamiltonian evolution can be…
Uncertainty principle is one of the cornerstones of quantum theory. In the literature, there are two types of uncertainty relations, the operator form concerning the variances of physical observables and the entropy form related to entropic…
It is well known that an (in general, non-commutative) set of non-Hermitian operators $\Lambda_j$ with real eigenvalues need not necessarily represent observables. We describe a specific class of quantum models in which these operators plus…
We compare two approaches to open quantum systems, namely, the non-Hermitian dynamics and the Lindblad master equation. In order to deal with more general dissipative phenomena, we propose the unified master equation that combines the…
We develop a synthesis of Turing's paradigm of computation and von Neumann's quantum logic to serve as a model for quantum computation with recursion, such that potentially non-terminating computation can take place, as in a quantum Turing…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
We study the algebra of observables in a time band on the boundary of anti-de Sitter space in a theory of quantum gravity. Strictly speaking this algebra does not have a commutant because products of operators within the time band give rise…
We illustrate an isomorphic representation of the observable algebra for quantum mechanics in terms of the functions on the projective Hilbert space, and its Hilbert space analog, with a noncommutative product in terms of explicit…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
We propose a novel framework for the quantum geometry of expectation values over arbitrary sets of operators and establish a link between this geometry and the eigenstates of Hamiltonian families generated by these operators. We show that…
In this paper, we describe some interesting properties of a non-Hermitian Jaynes-Cummings model. For this particular model, it is known that the Hilbert space can be described by infinitely-many two-dimensional invariant (closed) subspaces,…
We study solutions to the quantum trajectory evolution of $N$-mode open quantum systems possessing a time-independent Hamiltonian, linear Heisenberg-picture dynamics, and Gaussian measurement noise. In terms of the mode annihilation and…
The purpose of the paper is to study the foundations of the main axioms of Quantum Mechanics. From a general study of the mathematical properties of the models used in Physics to represent systems, we prove that the states of a system can…
In the thesis we present an analytic approach towards exact description for steady state density operators of nonequilibrium quantum dynamics in the framework of open systems. We employ the so-called quantum Markovian semi-group evolution,…
We propose a version of the non-relativistic quantum mechanics in which the pure states of a quantum system are described as sections of a Hilbert (generally infinitely-dimensional) fibre bundle over the space-time. There evolution is…
We study the pricing of derivative securities in financial markets modeled by a sub-mixed fractional Brownian motion with jumps (smfBm-J), a non-Markovian process that captures both long-range dependence and jump discontinuities. Under this…
We extend the Lindquist-Rachev (LR) option-pricing framework--which values derivatives in markets lacking a traded risk-free bond--by introducing common Levy jump dynamics across two risky assets. The resulting endogenous "shadow" short…