Related papers: Mathematical Foundations of Quantum Pricing Theory
The Shannon entropy of a collection of random variables is subject to a number of constraints, the best-known examples being monotonicity and strong subadditivity. It remains an open question to decide which of these "laws of information…
We introduce the Markovian matrix product density operator, which is a special subclass of the matrix product density operator. We show that the von Neumann entropy of such ansatz can be computed efficiently on a classical computer. This is…
Statistical formulations of thermodynamic entropy, such as those by Boltzmann and Gibbs, were originally developed for classical systems and are well understood in that context. However, the foundational aspects of quantum statistical…
We study the local quantization principle (after Sorin Popa~\cite{popa 94} and \cite{popa 95}) of inclusions of tracial von Neumann algebras. Let $(\mathcal{M},\tau)$ be a type ${\rm II}_1$ von Neumann algebra and let $\mathcal{N}\subseteq…
Closely motivated by financial considerations, we develop an integration theory which is not classical i.e. it is not necessarily associated to a measure. The base space, denoted by $\mathcal{S}$ and called a trajectory space, substitutes…
Our point of departure are the unitary dynamics of closed quantum systems as generated from the Schr\"odinger equation. We focus on a class of quantum models that typically exhibit roughly exponential relaxation of some observable within…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
A uniform matrix product state defined on a tripartite system of spins, denoted by $ABC,$ is shown to be an approximate quantum Markov chain when the size of subsystem $B,$ denoted $|B|,$ is large enough. The quantum conditional mutual…
We reconsider quantum mechanical systems based on the classical action being the period of a one form over a cycle and elucidate three main points. First we show that the prepotenial V is no longer completely arbitrary but obeys a…
By extending the method developed in our recent paper \cite{LM} we present the AQFT framework in terms of von Neumann algebras. In particular, this approach allows for a locally covariant categorical description of AQFT which moreover…
We consider the problem of pricing discretely monitored Asian options over $T$ monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide two quantum algorithms with complexity poly-logarithmic in $T$…
Without invalidating quantum mechanics as a principle underlying the dynamics of a fundamental theory, it is possible to ask for even more basic dynamical laws that may yield quantum mechanics as the machinery needed for its statistical…
Kramkov and Sirbu (2006, 2007) have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and…
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents overtime, S is the discounted price process of d-tradable…
We study prior-independent pricing for selling a single item to a single buyer when the seller observes only a single sample from the valuation distribution, while the buyer knows the distribution. Classical robust pricing approaches either…
This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount…
Spectral properties of an arbitrary matrix can be characterized by the entropy of its rescaled singular values. Any quantum operation can be described by the associated dynamical matrix or by the corresponding superoperator. The entropy of…
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…
In [10], Halmos proved an interesting result that the set of irreducible operators is dense in $\mathcal B(\mathcal H)$ in the sense of Hilbert-Schmidt approximation. In a von Neumann algebra $\mathcal M$ with separable predual, an operator…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…