相关论文: Quantum Theory for the Binomial Model in Finance T…
Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
We present a new idea for a class of public key quantum money protocols where the bills are joint eigenstates of systems of commuting unitary operators. We show that this system is secure against black box attacks, and propose an…
This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
In this paper, we introduce a new model of selection behavior under risk that describes an essential cognitive process for comparing values of objects and making a selection decision. This model is constructed by the quantum-like approach…
Bosons carrying a conserved charge can form stable bound states if their Lagrangian contains attractive self-interactions. Bound-state configurations with a large charge $Q$ can be described classically and are denoted as Q-balls, their…
The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relative to the risk-free interest rate that is earned from an…
It is shown that quantum mechanics on noncommutative (NC) spaces can be obtained by canonical quantization of some underlying constrained systems. Noncommutative geometry arises after taking into account the second class constraints…
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky assets…
We start by reviewing the formulation of noncommutative quantum mechanics as a constrained system. Then, we address to the problem of field theories defined on a noncommutative space-time manifold. The Moyal product is introduced and the…
In this paper, we give random matrix theory approach to the quantum mechanics using the quantum Hamilton-Jacobi formalism. We show that the bound state problems in quantum mechanics are analogous to solving Gaussian unitary ensemble of…
In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price…
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…
We explain why, in a configuration space that is multiply connected, i.e., whose fundamental group is nontrivial, there are several quantum theories, corresponding to different choices of topological factors. We do this in the context of…
This paper outlines, and through stylized examples evaluates a novel and highly effective computational technique in quantitative finance. Empirical Risk Minimization (ERM) and neural networks are key to this approach. Powerful open source…
We continue the analysis of quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory and quantum computing. The present paper is devoted to quantum bargaining games which are a…
This article outlines our point of view regarding the applicability, state-of-the-art, and potential of quantum computing for problems in finance. We provide an introduction to quantum computing as well as a survey on problem classes in…
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading…
Financial services is a prospect industry where unlocked near-term quantum utility could yield profitable potential, and, in particular, quantum machine learning algorithms could potentially benefit businesses by improving the quality of…