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Finance from the viewpoint of physics

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  • A. Jakovac

Abstract

In this note we review the basic mathematical ideas used in finance in the language of modern physics. We focus on discrete time formalism, derive path integral and Green's function formulas for pricing. We also discuss various risk mitigation methods.

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  • A. Jakovac, 2020. "Finance from the viewpoint of physics," Papers 2001.09446, arXiv.org, revised Jan 2020.
    • Handle: RePEc:arx:papers:2001.09446
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    References listed on IDEAS

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    1. Franck Jovanovic & Christophe Schinckus, 2017. "Econophysics and Financial Economics," Post-Print hal-03541391, HAL.
    2. Schmidt, Anatoly B., 2004. "Quantitative Finance for Physicists," Elsevier Monographs, Elsevier, edition 1, number 9780120884643.
    3. Zura Kakushadze, 2015. "Path integral and asset pricing," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1759-1771, November.
    4. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    5. Belal E. Baaquie & Claudio Coriano & Marakani Srikant, 2002. "Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance," Papers cond-mat/0208191, arXiv.org, revised Aug 2002.
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    Cited by:

    1. Ruyi Tao & Kaiwei Liu & Xu Jing & Jiang Zhang, 2024. "Predicting Company Growth by Econophysics informed Machine Learning," Papers 2410.17587, arXiv.org.

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