KIRILL ILINSKI PHYSICS OF FINANCE PDF

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Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Ilinski Published We give a brief introduction to the Gauge Theory of Arbitrage [1]. Treating a calculation of net present values NPV and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest rate, exchange rates and prices of securities as a proper connection components.

This allows us to map the theory of capital market onto the theory of quantized gauge field interacted with a money flow field. Save to Library. Create Alert. Launch Research Feed. Share This Paper. References Publications referenced by this paper.

How arbitragers change log-normal distribution, preprint IPhys Ilinski , A. Stepanenko Ilinski: Bid-ask spread as a gauge invariance breaking, preprint IPhys Ilinskaia Dewynne, The Mathematics of Financial Derivatives. Wilmott , J. Howison Dynamic asset pricing theory Darrell Duffie Economics Elton Economics, Business Hanson: Gravitation, gauge theories and differential geometry. Eguchi , A. Gilkey Physics Reports, Related Papers.

Abstract 8 References Related Papers. By clicking accept or continuing to use the site, you agree to the terms outlined in our Privacy Policy , Terms of Service , and Dataset License.

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Physics of Finance: Gauge Modelling in Non-Equilibrium Pricing

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Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Ilinski Published We give a brief introduction to the Gauge Theory of Arbitrage [1]. Treating a calculation of net present values NPV and currencies exchanges as a parallel transport in some fibre bundle, we give geometrical interpretation of the interest rate, exchange rates and prices of securities as a proper connection components.

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Physics of Finance Kirill Ilinski

Kirill Ilinski is a Russian born British businessman and scientist. Ilinski has now published more than 40 papers focusing on the use of theoretical physics in the financial modelling. In Ilinski started his financial career joining Chase Manhattan Bank where he focused on proprietary modelling, options trading and risk management. Kirill is credited as the creator of The Shock Absorber Fee SAFe , [3] a special compensation structure aimed to reduce the systemic risks involved in hedge funds.

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Physics of Finance : Gauge Modelling in Non-Equilibrium Pricing

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