英文标题：
《When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage
Markets in a Quantum Mechanical View》
---
作者：
Simone Farinelli and Hideyuki Takada
---
最新提交年份：
2021
---
英文摘要：
Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose curvature measures, in this geometric language, the instantaneous arbitrage capability generated by the market itself. The asset and market portfolio dynamics have a quantum mechanical description, which is constructed by quantizing the deterministic version of the stochastic Lagrangian system describing a market allowing for arbitrage. Results, obtained by solving the Schroedinger equation, coincide with those obtained by solving the stochastic Euler Lagrange equations derived by a variational principle and providing therefore consistency.
---
中文摘要：
几何套利理论重新构建了一个可能允许套利的通用资产模型，方法是将所有资产及其远期动态打包成一个随机的主纤维束，其平行传输编码贴现和投资组合再平衡，其曲率度量用几何语言表示，市场本身产生的即时套利能力。资产和市场投资组合动力学有一个量子力学描述，它是通过量化描述允许套利的市场的随机拉格朗日系统的确定性版本构建的。通过求解薛定谔方程得到的结果与通过求解由变分原理导出的随机Euler-Lagrange方程得到的结果一致，因此具有一致性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->