Work detail

Construction of a quantum finance model of option premia

Author: Bc. Pavel Irinkov
Year: 2014 - winter
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Work type: Bachelors
Language: English
Pages: 51
Awards and prizes:
Abstract: Last twenty years have seen a tremendous growth of the nancial mar-
kets both in trading volumes and in sophistication of instruments. This
ever-increasing complexity of the market structure necessitates use of math-
ematically advanced models from the side of market participants. So far,
the prevalent paradigm for these models has been the stochastic analysis as
a branch of applied mathematics. In the last few years however, there has
been an in ux of purely physical concepts and methodology, constituting
nascent eld of econophysics. To what extent this new approach is useful
remains, however, an open question. In my bachelor thesis I will focus on
one sub eld of econophysics, namely quantum nance. First, I will give an
overview of both stochastic analysis and the new quantum nance paradigm.
Then using the framework of quantum theory and quantum eld theory I
will construct a model of European stock option




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