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|Title:||Financial modeling and quantum mathematics||Authors:||Baaquie, B.E.||Keywords:||Quantum finance||Issue Date:||2013||Citation:||Baaquie, B.E. (2013). Financial modeling and quantum mathematics. Computers and Mathematics with Applications 65 (10) : 1665-1673. ScholarBank@NUS Repository. https://doi.org/10.1016/j.camwa.2013.01.025||Abstract:||Financial instruments have a random evolution and can be described by a stochastic process. It is shown that another approach for modeling financial instruments-considered as a (classical) random system-is by employing the mathematics that results from the formalism of quantum mechanics. Financial instruments are described by the elements of a linear vector state space and its evolution is determined by a Hamiltonian operator. It is further shown that interest rates can be described by a random function-which is mathematically equivalent to a two dimensional Euclidean quantum field. © 2013 Elsevier Ltd. All rights reserved.||Source Title:||Computers and Mathematics with Applications||URI:||http://scholarbank.nus.edu.sg/handle/10635/96633||ISSN:||08981221||DOI:||10.1016/j.camwa.2013.01.025|
|Appears in Collections:||Staff Publications|
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