MARC Record from marc_nuls

LEADER: 05804pam 22003854a 4500
001 9920797800001661
005 20150423131741.0
008 000627s2001 enka b 001 0 eng
010 $a 00043548
020 $a0471877387 (cloth : alk. paper)
035 $a(CSdNU)u93139-01national_inst
035 $a(Sirsi) l00043548
035 $a(Sirsi) l00043548
035 $a(Sirsi) 01-AAL-4596
035 $a 00043548
040 $aDLC$cDLC$dDLC$dOrPss
042 $apcc
050 00 $aHG 220.5$bI45 2001
100 1 $aIlinski, Kirill.
245 10 $aPhysics of finance :$bgauge modelling in non-equilibrium pricing / $cKirill Illinski.
260 $aChichester, [England] ;$aNew York :$bJohn Wiley,$cc2001.
300 $axii, 326 p. :$bill. ;$c25 cm.
440 0 $aWiley finance series
504 $aIncludes bibliographical references (p. [315]-322) and index.
505 0 $aDynamics versus Equilibrium -- Natural Science versus Social Science -- 'Fair Game' and the Fractal Market Hypothesis -- Dynamics, Volumes, and Money Flows -- What Is This Book About? -- Fibre Bundles in Finance: First Contact -- Differential Geometry on Fibre Bundles -- Fibre Bundles -- Parallel Transport -- Curvature -- Financial Examples -- Foreign Exchange -- Net Present Value and Discounting as Parallel Transport -- Two generalizations: Many Assets and Time -- Financial Electrodynamics -- Arbitrage as Curvature -- Charges, Forces, and Gauge Symmetry -- Uncertainty and Quantization -- Fibre Bundles: Mathematics -- Manifolds -- Fibre Bundles -- Connections on Fibre Bundles -- Curvature -- Transformation Laws -- Invariance and Invariants -- Lattice Generalizations -- For the Curious: Index Theorems -- Fibre Bundles: Physics -- Electromagnetism -- Gauge Invariance and Geometry -- Electrodynamics as a Gauge Theory -- Weyl's Gauge Theory -- Quantum Electrodynamics -- Other Fundamental Gauge Theories -- Weak Interactions -- Strong Forces -- Gravity -- Once More on Weyl's Theory -- Fibre Bundles in Finance: Gauge Field Dynamics -- Fibre Bundles: Formal Constructions -- Construction of the Discrete Base -- Structure Group -- Fibres -- Parallel Transport, Curvature, and Arbitrage -- Basic Assumptions -- Construction of the Dynamics -- Linear Actions -- Quadratic Actions -- Continuous Fibre Bundles -- Gauge Invariance: Practical Issues -- Splits and Devaluations -- Transaction Costs -- Psychological Factors -- Uneven Distribution of Numbers in Prices -- Dynamics of Fast Money Flows: I -- Fast Price Dynamics: Models and Empirics -- Models -- Empirical Results -- Money Flows: First Principles -- Dynamics Construction for a Single Investment Horizon -- Single-Investor Case -- Risk Factors -- Many-Investors Case -- Lattice Gauge Theory -- Farmer's Term -- Interaction -- Comparison with Other Microscopic Models -- Statistical Properties of the Model -- Probability Distribution Function--Analytics -- Dynamics of Fast Money Flows: II -- Technical Analysis -- Efficient Market Hypothesis -- Short-Time Dynamical Equations -- Econometric Issues of Price Adjustment -- Final Remarks on Chapters 6 and 7 -- Virtual Arbitrage Pricing Theory -- Equilibrium Asset Pricing -- Gauge Model: Corrections to APT -- Effective Equation for a Riskless Portfolio in the Presence of Virtual Arbitrage -- Corrections to APT -- Basis in the Space of Riskless Portfolios -- Corrections to CAPM -- Derivatives -- Derivative Pricing Under the No-Arbitrage Assumption -- Arbitage or No-Arbitage: Some Empirical Results -- Evidence from Index-Futures Arbitrage -- Arbitrage and Extreme Market Events -- Gauge Model for Derivative Pricing -- Derivation of the Black-Scholes Equation -- Boundary Conditions -- Connection with Black-Scholes Analysis -- Arbitrage Money Flows -- Other Money Flows -- Phenomenological Model of Derivative Pricing with Virtual Arbitrage -- Effective Equation for Derivative Price -- Discussion of the Model -- Partial Differential Equations Framework -- Explicit Solutions -- Pure Ornstein-Uhlenbeck Process -- Generating Function for Restricted Brownian Motion -- Compound Process -- Particular Derivatives -- Transaction Costs and Arbitrage Strategies -- Derivative Pricing Far From Equilibrium -- Underlying Price Stochastic Dynamics -- Pricing Equation -- Final Remarks -- Methods of Quantum Field Theory and Their Financial Applications -- Primer on Creation-Annihilation Operators -- Occupation Number Representation in a Simple Case -- Multicoordinate generalization -- Why Do We Need Creation-Annihilation Operators? -- Famous Example: the Harmonic Oscillator -- Functional Integrals -- Feynman Path Integral -- Coherent State Representation and Functional Integrals -- Proof of Fact (18) from Chapter 6 -- Exact Results for Functional Integrals -- Gaussian Integrals -- Path Integrals for the Harmonic Oscillator -- Derivation of Equation (50) of Chapter 9 Using Path Integrals -- Financial Applications -- Short-Term Interest Rate Models -- Exact Results for the Vasicek Model from Path Integrals -- Saloman Brothers model -- Calculation of Functional Integrals -- Perturbation Theory and Feynman Diagrams -- Quasiclassical Approach and Effective Action -- Numerical Methods -- Functional Integrals and Ito Calculus -- Functional Integrals for Quasi-Brownian Processes -- Fokker-Planck Equation -- Ito Lemma.
650 0 $aFinance$xMathematical models.
650 0 $aStocks$xPrices$xMathematical models.
650 0 $aGauge invariance.
650 0 $aFiber bundles (Mathematics)
650 0 $aQuantum theory.
650 0 $aMathematical physics.
650 0 $aEquilibrium (Economics)
650 0 $aParadigms (Social sciences)
948 $a05/17/2001$b06/04/2001
999 $aHG 220.5 I45 2001$wLC$c1$i31786101432869$d4/6/2004$f4/6/2004$g1 $lCIRCSTACKS$mNULS$rY$sY$tBOOK$u6/4/2001