Gauge Physics of Finance: simple introduction

In this paper we state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modelling of realistic price processes is considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also...

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Bibliographic Details
Published in:arXiv.org 1998-11
Main Author: Ilinski, Kirill N
Format: Article
Language:English
Subjects:
Portfolio management
Online Access:Get full text
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Summary:In this paper we state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modelling of realistic price processes is considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also briefly discussed.
ISSN:2331-8422