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

Luca Capriotti; Ruggero Vaia

doi:10.3905/jod.2020.1.107

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

Vol. 29, Issue 3

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