英文标题：
《Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate》
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作者：
Martin Gremm
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最新提交年份：
2016
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英文摘要：
We define risk-free portfolios using three gauge invariant differential operators that require such portfolios to be insensitive to price changes, to be self-financing, and to produce a zero real return so there are no risk-free profits. This definition identifies the risk-free rate as the return of an infinitely diversified portfolio rather than as an arbitrary external parameter. The risk-free rate measures the rate of global price rescaling, which is a gauge symmetry of economies. We explore the properties of risk-free rates, rederive the Black Scholes equation with a new interpretation of the risk-free rate parameter as a that background gauge field, and discuss gauge invariant discounting of cash flows.
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中文摘要：
我们使用三个计量不变差分算子定义无风险投资组合，要求此类投资组合对价格变化不敏感、自负盈亏，并产生零实际回报，因此不存在无风险利润。该定义将无风险利率定义为无限多元化投资组合的回报，而不是任意的外部参数。无风险利率衡量全球价格调整的速度，这是衡量经济对称性的标准。我们探讨了无风险利率的性质，重新推导了Black-Scholes方程，将无风险利率参数作为背景规范场进行了新的解释，并讨论了现金流的规范不变贴现。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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