Publications
154 results found
BRODY DORJEC, CONSTANTINOU IRENEC, MEISTER BERNHARDK, 2007, TERM STRUCTURE OF VANILLA OPTIONS, International Journal of Theoretical and Applied Finance, Vol: 10, Pages: 1323-1337
Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise value, the resulting quantity defines a discount function. Thus, the derivative of the discount function with respect to the time left until maturity defines a term structure density function, and the "hazard rate" associated with the discount function determines the forward rates for the vanilla option portfolio. The dynamics associated with these quantities are obtained in the complete market setting. In particular, one can model vanilla options based on the associated forward rates. The formulation based on forward rates for options extends the approach based on modeling the implied volatility process. As an illustrative example, the initial term structure of the Black–Scholes model is considered. It is shown in this example that the implied volatility smile has the effect of making the option forward rates homogeneous across different strikes.
Brody DC, Constantinou IC, Meister BK, 2007, Term structure of vanilla options, Int J Theo App Finance, Vol: 10, Pages: 1323-1337, ISSN: 0219-0249
Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise value, the resulting quantity defines a discount function. Thus, the derivative of the discount function with respect to the time left until maturity defines a term structure density function, and the “hazard rate” associated with the discount function determines the forward rates for the vanilla option portfolio. The dynamics associated with these quantities are obtained in the complete market setting. In particular, one can model vanilla options based on the associated forward rates. The formulation based on forward rates for options extends the approach based on modeling the implied volatility process. As an illustrative example, the initial term structure of the Black–Scholes model is considered. It is shown in this example that the implied volatility smile has the effect of making the option forward rates homogeneous across different strikes.
Brody DC, Constantinou IC, Dear JDC, et al., 2006, Exactly solvable quantum state reduction models with time-dependent coupling, JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, Vol: 39, Pages: 11029-11051, ISSN: 0305-4470
- Author Web Link
- Cite
- Citations: 5
Bender CM, Brody DC, Chen J-H, et al., 2006, Equivalence of a complex PT-symmetric quartic Hamiltonian and a Hermitian quartic Hamiltonian with an anomaly, PHYSICAL REVIEW D, Vol: 74, ISSN: 1550-7998
- Author Web Link
- Cite
- Citations: 72
Brody DC, Hook DW, 2006, On optimum Hamiltonians for state transformations, Journal of Physics A: Mathematical and General, Vol: 39, Pages: L167-L170, ISSN: 0305-4470
For a prescribed pair of quantum states vertical bar psi(1)> and vertical bar psi(F)> we establish an elementary derivation of the optimum Hamiltonian, under constraints on its eigenvalues, that generates the unitary transformation vertical bar psi(1)> -> vertical bar psi(F)> in the shortest duration. The derivation is geometric in character and does not rely on variational calculus
Brody DC, Hughston LP, 2006, Quantum noise and stochastic reduction, JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, Vol: 39, Pages: 833-876, ISSN: 0305-4470
- Author Web Link
- Cite
- Citations: 17
Bender CM, Brody DC, Jones HF, 2006, Semiclassical analysis of a complex quartic Hamiltonian, PHYSICAL REVIEW D, Vol: 73, ISSN: 1550-7998
- Author Web Link
- Cite
- Citations: 7
Brody DC, Hughston LP, 2006, Quantum states and space-time causality, Tokyo, Second International Symposium on Information Geometry and its Applications, Pages: 181-189
Bender CM, Brody DC, Chen JH, et al., 2006, Equivalence of a complex PT-symmetric quartic Hamiltonian and a Hermitian quartic Hamiltonian with an anomaly (Article no. 025016), Physical Review D, Vol: 74, Pages: 1-10, ISSN: 1550-7998
Brody DC, Hughston LP, 2005, Theory of quantum space-time, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 461, Pages: 2679-2699, ISSN: 1364-5021
- Author Web Link
- Cite
- Citations: 5
Bender CM, Brody DC, Hook DW, 2005, Solvable model of quantum microcanonical states, Journal of Physics A: Mathematical and General, Vol: 38, Pages: L607-L613, ISSN: 0305-4470
Brody DC, Hughston LP, 2005, Finite-time stochastic reduction models, JOURNAL OF MATHEMATICAL PHYSICS, Vol: 46, ISSN: 0022-2488
- Author Web Link
- Cite
- Citations: 15
Brody DC, Buckley IRC, Constantinou IC, et al., 2005, Entropic calibration revisited, PHYSICS LETTERS A, Vol: 337, Pages: 257-264, ISSN: 0375-9601
- Author Web Link
- Cite
- Citations: 5
Bender CM, Brody DC, Meister BK, 2005, Unusual quantum states: non-locality, entropy, Maxwell's demon and fractals, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 461, Pages: 733-753, ISSN: 1364-5021
- Author Web Link
- Cite
- Citations: 18
Bender CM, Brody DC, Jones HF, 2005, Extension of <i>PT</i>-symmetric quantum mechanics to quantum field theory with cubic interaction (vol 70, art no 025001, 2004) -: art. no. 049901, PHYSICAL REVIEW D, Vol: 71, ISSN: 1550-7998
- Author Web Link
- Cite
- Citations: 29
Bender CM, Brody DC, Meister BK, 2005, Entropy and temperature of a quantum Carnot engine, The laws of thermodynamics: an anthology of current thought, Editors: Viegas, Viegas, New York, Publisher: The Rosen Publishing Group, Pages: 21-34, ISBN: 9781404204096
Brody DC, 2005, Financial Engineering for Businessmen, Tokyo, Publisher: Toyo-Keizai, ISBN: 9784492653562
Bender CM, Brody DC, Jones HF, 2004, Scalar quantum field theory with a complex cubic interaction, PHYSICAL REVIEW LETTERS, Vol: 93, ISSN: 0031-9007
- Author Web Link
- Cite
- Citations: 107
Brody DC, Buckey IRC, Meister BK, 2004, Preposterior analysis for option pricing, QUANTITATIVE FINANCE, Vol: 4, Pages: 465-477, ISSN: 1469-7688
- Author Web Link
- Cite
- Citations: 4
Bender CM, Brody DC, Jones HF, 2004, Extension of <i>PT</i>-symmetric quantum mechanics to quantum field theory with cubic interaction -: art. no. 025001, PHYSICAL REVIEW D, Vol: 70, ISSN: 1550-7998
- Author Web Link
- Cite
- Citations: 192
Bender CM, Brody DC, Jones HF, 2004, Complex extension of quantum mechanics (vol 89, art no 270401, 2002), PHYSICAL REVIEW LETTERS, Vol: 92, ISSN: 0031-9007
- Author Web Link
- Cite
- Citations: 123
Brody DC, 2004, Shapes of quantum states, JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, Vol: 37, Pages: 251-257, ISSN: 0305-4470
- Author Web Link
- Cite
- Citations: 1
Brody DC, Hughston LP, 2004, Chaos and coherence: a new framework for interest-rate modelling, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 460, Pages: 85-110, ISSN: 1364-5021
- Author Web Link
- Cite
- Citations: 18
Brody DC, Hughston LP, 2004, Twistor cosmology and quantum space-time, Fundemental interactions and twistor-like methods: XIX Max Born symposium, Wroclaw (Poland), 28 September - 1 October 2004, Publisher: Springer, Pages: 57-95
Bender CM, Brody DC, Jones HF, 2003, Must a Hamiltonian be Hermitian?, AMERICAN JOURNAL OF PHYSICS, Vol: 71, Pages: 1095-1102, ISSN: 0002-9505
- Author Web Link
- Cite
- Citations: 312
Brody DC, Hughston LP, Syroka J, 2003, Relaxation of quantum states under energy perturbations, PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, Vol: 459, Pages: 2297-2316, ISSN: 1364-5021
- Author Web Link
- Cite
- Citations: 8
Brody DC, Ritz A, 2003, Information geometry of finite Ising models, JOURNAL OF GEOMETRY AND PHYSICS, Vol: 47, Pages: 207-220, ISSN: 0393-0440
- Author Web Link
- Cite
- Citations: 33
Brody DC, 2003, Elementary derivation for passage times, JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, Vol: 36, Pages: 5587-5593, ISSN: 0305-4470
- Author Web Link
- Cite
- Citations: 66
Bender CM, Brody DC, Meister BK, 2003, On powers of Bessel functions, JOURNAL OF MATHEMATICAL PHYSICS, Vol: 44, Pages: 309-314, ISSN: 0022-2488
- Author Web Link
- Cite
- Citations: 14
Accardi L, Brody DC, Belavkin VP, et al., 2003, Discussion on the paper by Barndorff-Nielsen, Gill and Jupp, JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, Vol: 65, Pages: 805-816, ISSN: 1369-7412
This data is extracted from the Web of Science and reproduced under a licence from Thomson Reuters. You may not copy or re-distribute this data in whole or in part without the written consent of the Science business of Thomson Reuters.