题目:QUANTUM FINANCE: Path Integrals and Hamiltonians for Options and Interest Rates
时间:2010.12.23 下午4:30
地点:16楼308
Systems with finite number of degrees of freedom(有限自由度系统)
4 Hamiltonians and stock options (哈密顿量和股票价格体系)
4.1 Essentials of quantum mechanics (量子力学概要)
4.2 State space: completeness equation (状态空间)
4.3 Operators: Hamiltonian (算符)
4.4 Black–Scholes and Merton–Garman Hamiltonians (B-S 和M-G哈密顿量)
4.5 Pricing kernel for options(期权的定价核)
4.6 Eigen function solution of the pricing kernel 定价核的本征方程
4.7 Hamiltonian formulation of the martingale condition 鞅条件的哈密顿形式
4.8 Potentials in option pricing
4.9 Hamiltonian and barrier options
4.10 Summary