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The Journal of Derivatives

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Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities

Luca Capriotti and Ruggero Vaia
The Journal of Derivatives Fall 2020, jod.2020.1.107; DOI: https://doi.org/10.3905/jod.2020.1.107
Luca Capriotti
is a managing director at Credit Suisse, and an adjunct faculty member at New York University in Brooklyn, New York and at University College London in London, UK
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Ruggero Vaia
is a senior scientist of the Consiglio Nazionale delle Ricerche with expertise in quantum statistical mechanics of low-dimensional systems. He works at the Istituto dei Sistemi Complessi in Sesto Fiorentino (FI), Italy, and is associated to the Istituto Nazionale di Fisica Nucleare
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The Journal of Derivatives: 29 (5)
The Journal of Derivatives
Vol. 29, Issue 5
Summer 2022
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Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities
Luca Capriotti, Ruggero Vaia
The Journal of Derivatives Apr 2020, jod.2020.1.107; DOI: 10.3905/jod.2020.1.107

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Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities
Luca Capriotti, Ruggero Vaia
The Journal of Derivatives Apr 2020, jod.2020.1.107; DOI: 10.3905/jod.2020.1.107
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  • Article
    • Abstract
    • EFFECTIVE POTENTIAL APPROXIMATION IN QUANTUM STATISTICAL MECHANICS
    • PATH-INTEGRAL FORMULATION OF STOCHASTIC CALCULUS
    • NUMERICAL RESULTS
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • ADDITIONAL READING
    • REFERENCES
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