منابع مشابه
Quantum Game Theory in Finance
This is a short review of the background and recent development in quantum game theory and its possible application in economics and finance. The intersection of science and society is also discussed. The review is addressed to non–specialists. PACS Classification: 02.50.Le, 03.67.Lx, 05.50.+q, 05.30.–d Mathematics Subject Classification: 81-02, 91-02, 91A40, 81S99
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In this paper, we present a non-commutative version of some portions of finance theory, including theory of arbitrage, asset princing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. The binomial model (or, the CRR-model) is studied in the non-commutative setting, and in particular, we prove that a single-step model in non-commutative sett...
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This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown that all single-step models are incomplete in the quantum setting. Therefore, incompleteness is ba...
متن کاملInterest rates in quantum finance: the Wilson expansion and Hamiltonian.
Interest rate instruments form a major component of the capital markets. The Libor market model (LMM) is the finance industry standard interest rate model for both Libor and Euribor, which are the most important interest rates. The quantum finance formulation of the Libor market model is given in this paper and leads to a key generalization: all the Libors, for different future times, are imper...
متن کاملQuantum finance Hamiltonian for coupon bond European and barrier options.
Coupon bond European and barrier options are financial derivatives that can be analyzed in the Hamiltonian formulation of quantum finance. Forward interest rates are modeled as a two-dimensional quantum field theory and its Hamiltonian and state space is defined. European and barrier options are realized as transition amplitudes of the time integrated Hamiltonian operator. The double barrier op...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2002
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(02)01200-1