相关论文: Quantum Theory for the Binomial Model in Finance T…

We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…

We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…

Unknown quantum information cannot be perfectly copied (cloned). This statement is the bedrock of quantum technologies and quantum cryptography, including the seminal scheme of Wiesner's quantum money, which was the first…

We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are…

In finance, predictive models must balance accuracy and interpretability, particularly in credit risk assessment, where model decisions carry material consequences. We present a quantum neural network (QNN) based on a single qudit, in which…

The aim of the paper is to study the Bertrand duopoly example in the quantum domain. We use two ways to write the game in terms of quantum theory. The first one adapts the Li-Du-Massar scheme for the Cournot duopoly. The second one is a…

This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…

Speculative trading can drive pronounced market instabilities, yet existing regulatory and macroprudential tools intervene only after such dynamics emerge. Quantum technologies offer a fundamentally new means of shaping economic behavior by…

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 $T$…

We establish a polynomial turnpike estimate for an optimal control problem consisting of a system of infinitely many controlled oscillators, considered as an abstract differential equation in a Hilbert space, with a quadratic cost. Our…

In quantum mechanics and finance, numeraire invariance - the unobservability of absolute phase or price scale - fits with a projective and curved state space. This projective geometry has a measurable signature. For spin-one and higher spin…

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…

Comprehensive and physically consistent model of a tossed coin is presented in terms of geometric algebra. The model clearly shows that there is nothing elementary particle specific in the half-spin quantum mechanical formalism. It also…

This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…

Quantum Stochastic Calculus can be used as a means by which randomness can be introduced to observables acting on a Hilbert space. In this article we show how the mechanisms of Quantum Stochastic Calculus can be used to extend the classical…

Hamiltonian approach in quantum mechanics provides a new thinking for barrier option pricing. For proportional floating barrier step options, the option price changing process is similar to the one dimensional trapezoid potential barrier…

One of the principal obstacles on the way to quantum computers is the lack of distinguished basis in the space of unitary evolutions and thus the lack of the commonly accepted set of basic operations (universal gates). A natural choice,…

In the given work the first attempt to generalize quantum uncertainty relation on macro objects is made. Business company as one of economical process participants was chosen by the authors for this purpose. The analogies between quantum…

We provide an axiomatic foundation for the representation of num\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…