Universal Journal of Physics and Application Vol. 9(2), pp. 64 - 133
DOI: 10.13189/ujpa.2015.090203
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Phynance

Zura Kakushadze ^1,2,*
1 Quantigic® Solutions LLC, 1127 High Ridge Road #135, Stamford, CT 06905
² Free University of Tbilisi, Business School & School of Physics, 240, David Agmashenebeli Alley, Tbilisi, 0159, Georgia

ABSTRACT

These are the lecture notes for an advanced Ph.D. level course I taught in Spring' 02 at the C.N. Yang Institute for Theoretical Physics at Stony Brook. The course primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in theoretical physics, hence "Phynance". I also included several "quiz" problems (with solutions) comprised of (pre-)interview questions quantitative finance job candidates were sometimes asked back in those days. The course to a certain extent follows an excellent book "Financial Calculus: An Introduction to Derivative Pricing" by M. Baxter and A. Rennie.

KEYWORDS
Path Integral, Stochastic Calculus, Derivatives Pricing, Equities and Dividends, Short-rate Models, Interest Rate Market, Foreign Exchange

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Zura Kakushadze , "Phynance," Universal Journal of Physics and Application, Vol. 9, No. 2, pp. 64 - 133, 2015. DOI: 10.13189/ujpa.2015.090203.

(b). APA Format:
Zura Kakushadze (2015). Phynance. Universal Journal of Physics and Application, 9(2), 64 - 133. DOI: 10.13189/ujpa.2015.090203.