The Experts below are selected from a list of 206490 Experts worldwide ranked by ideXlab platform
Stefano Taddei - One of the best experts on this subject based on the ideXlab platform.
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a path Integral Approach to derivative security pricing ii numerical methods
International Journal of Theoretical and Applied Finance, 2002Co-Authors: Marco Rosaclot, Stefano TaddeiAbstract:We discuss two numerical techniques, based on the path Integral Approach described in a previous paper, for solving the stochastic equations underlying the financial markets: the path Integral Monte Carlo, and the path Integral deterministic evaluation. In particular, we apply the latter to some specific financial problems: the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.
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a path Integral Approach to derivative security pricing i formalism and analytical results
International Journal of Theoretical and Applied Finance, 1999Co-Authors: Eleonora Bennati, Marco Rosaclot, Stefano TaddeiAbstract:We use a path Integral Approach for solving the stochastic equations underlying the financial markets, and show the equivalence between the path Integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the multi-dimensional cases, with point dependent drift and volatility, and describe a covariant formulation which allows general changes of variables. Finally we apply the method to some economic models with analytical solutions. In particular, we evaluate the expectation value of functionals which correspond to quantities of financial interest.
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a path Integral Approach to derivative security pricing ii numerical methods
arXiv: Statistical Mechanics, 1999Co-Authors: Marco Rosaclot, Stefano TaddeiAbstract:We discuss two numerical methods, based on a path Integral Approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo Approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In particular, we consider the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.
Eran Rabani - One of the best experts on this subject based on the ideXlab platform.
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real time path Integral Approach to nonequilibrium many body quantum systems
Physical Review Letters, 2008Co-Authors: Lothar Muhlbacher, Eran RabaniAbstract:A real-time path-Integral Monte Carlo Approach is developed to study the dynamics in a many-body quantum system coupled to a phonon background until reaching a nonequilibrium stationary state. The Approach is based on augmenting an exact reduced equation for the evolution of the system in the interaction picture which is amenable to an efficient path Integral (worldline) Monte Carlo Approach. Results obtained for a model of inelastic tunneling spectroscopy reveal the applicability of the Approach to a wide range of physically important regimes, including high (classical) and low (quantum) temperatures, and weak (perturbative) and strong electron-phonon couplings.
Reinhold Egger - One of the best experts on this subject based on the ideXlab platform.
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iterative real time path Integral Approach to nonequilibrium quantum transport
Physical Review B, 2008Co-Authors: S Weiss, J Eckel, Michael Thorwart, Reinhold EggerAbstract:We have developed a numerical Approach to compute real-time path Integral expressions for quantum transport problems out of equilibrium. The scheme is based on a deterministic iterative summation of the path Integral for the generating function of the nonequilibrium current. Self-energies due to the leads, being nonlocal in time, are fully taken into account within a finite memory time, thereby including non-Markovian effects, and numerical results are extrapolated both to vanishing (Trotter) time discretization and to infinite memory time. This extrapolation scheme converges except at very low temperatures, and the results are then numerically exact. The method is applied to nonequilibrium transport through an Anderson dot.
Michele Casula - One of the best experts on this subject based on the ideXlab platform.
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probing anharmonic phonons by quantum correlators a path Integral Approach
Journal of Chemical Physics, 2021Co-Authors: Tommaso Morresi, Lorenzo Paulatto, Rodolphe Vuilleumier, Michele CasulaAbstract:We devise an efficient scheme to determine vibrational properties from Path Integral Molecular Dynamics (PIMD) simulations. The method is based on zero-time Kubo-transformed correlation functions and captures the anharmonicity of the potential due to both temperature and quantum effects. Using analytical derivations and numerical calculations on toy-model potentials, we show that two different estimators built upon PIMD correlation functions fully characterize the phonon spectra and the anharmonicity strength. The first estimator is associated with the force–force quantum correlators and, in the weak anharmonic regime, yields reliable zero-point motion frequencies and thermodynamic properties of the quantum system. The second one is instead connected to displacement–displacement correlators and accurately probes the lowest-energy phonon excitations, regardless of the anharmonicity strength of the system. We also prove that the use of generalized eigenvalue equations, in place of the standard normal mode equations, leads to a significant speed-up in the PIMD phonon calculations, both in terms of faster convergence rate and smaller time step bias. Within this framework, using ab initio PIMD simulations, we compute phonon dispersions of diamond and of the high-pressure I41/amd phase of atomic hydrogen. We find that in the latter case, the anharmonicity is stronger than previously estimated and yields a sizeable red-shift in the vibrational spectrum of atomic hydrogen.
Marco Rosaclot - One of the best experts on this subject based on the ideXlab platform.
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a path Integral Approach to derivative security pricing ii numerical methods
International Journal of Theoretical and Applied Finance, 2002Co-Authors: Marco Rosaclot, Stefano TaddeiAbstract:We discuss two numerical techniques, based on the path Integral Approach described in a previous paper, for solving the stochastic equations underlying the financial markets: the path Integral Monte Carlo, and the path Integral deterministic evaluation. In particular, we apply the latter to some specific financial problems: the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.
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a path Integral Approach to derivative security pricing i formalism and analytical results
International Journal of Theoretical and Applied Finance, 1999Co-Authors: Eleonora Bennati, Marco Rosaclot, Stefano TaddeiAbstract:We use a path Integral Approach for solving the stochastic equations underlying the financial markets, and show the equivalence between the path Integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the multi-dimensional cases, with point dependent drift and volatility, and describe a covariant formulation which allows general changes of variables. Finally we apply the method to some economic models with analytical solutions. In particular, we evaluate the expectation value of functionals which correspond to quantities of financial interest.
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a path Integral Approach to derivative security pricing ii numerical methods
arXiv: Statistical Mechanics, 1999Co-Authors: Marco Rosaclot, Stefano TaddeiAbstract:We discuss two numerical methods, based on a path Integral Approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo Approach, and the Green function deterministic numerical method. Then, we apply the latter to some specific financial problems. In particular, we consider the pricing of a European option, a zero-coupon bond, a caplet, an American option, and a Bermudan swaption.
