Group Quantization of Quadratic Hamiltonians in Finance

10 Feb 2021  ·  Santiago Garcia ·

The Group Quantization formalism is a scheme for constructing a functional space that is an irreducible infinite dimensional representation of the Lie algebra belonging to a dynamical symmetry group. We apply this formalism to the construction of functional space and operators for quadratic potentials -- gaussian pricing kernels in finance... We describe the Black-Scholes theory, the Ho-Lee interest rate model and the Euclidean repulsive and attractive oscillators. The symmetry group used in this work has the structure of a principal bundle with base (dynamical) group a semi-direct extension of the Heisenberg-Weyl group by SL(2,R), and structure group (fiber) the positive real line. read more

PDF Abstract
No code implementations yet. Submit your code now


  Add Datasets introduced or used in this paper

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.


No methods listed for this paper. Add relevant methods here