イヴァン・アラウト博士講演会「量子ファイナンスにおける弱値」

高知工科大学 統合量子素子研究室セミナー

イヴァン・アラウト博士(香港開放大学)令和元年7月1日

Kochi University of Technology
Unified Quantum Device Laboratory Seminar

⭐Speaker: Dr. Ivan Arraut (The Open University of Hong Kong). 
⭐Date&Time : 7 /1 /2019 (Mon) 16:20-17:50
⭐Place: Kami Campus, C102

⭐Title: The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance

⭐Abstract:
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over cases where we can predict the evolution of the system by joining prices (one or more) for the Option, defined at some specific time with prices (one or more) defined at another instant. This is achieved by describing the evolution of the system through a financial Hamiltonian.

References:
[1] I. Arraut, A. Au, A. Tse and C. Segovia, Physica A, Vol. 526, (2019), 121028.
[2] B. E. Baaquie, “Quantum Finance: Path Integrals and Hamiltonians for Options and interestrates”, Cambridge University Press (2004).
[3] F. Black and M. Scholes, “The pricing of Options and corporate liabilities”, J. Pol. Ec. , 81, (1973).
[4] H. Eleuch and I. Rotter, “Gain and loss in Open Quantum systems”, Phys. Rev. E, 95 (2017), 062109.
[5] T. Mori and I. Tsutsui, Prog. Theor. Exp. Phys. (2015), 043A01.

♦️presentation material [PDF] download
[ arraut2018]