Physics of Finance

Gauge Modelling in Non-equilibrium Pricing

Ilinski, Kirill

Wiley Professional Banking and Finance Series /Wiley Frontiers in Finance

1. Edition January 2001
XII, 326 Pages, Hardcover
Wiley & Sons Ltd

ISBN: 978-0-471-87738-7

John Wiley & Sons

Short Description

Arguably one of the newest and most controversial approaches in financial pricing, Physics of Finance uses techniques from modern physics to develop an altogether original method for pricing financial assets.
Not only does the author use gauge theories from physics to take a new look at market equilibrium, his new financial model links the concepts of standard pricing and technical analysis, bridging the gap between "quants" and traders.

Further versions

One of the newest and most controversial approaches to financial pricing. In Physics of Finance the author applies the methods of theoretical physics to financial economics to develop an altogether original method for pricing financial assets that steps outside the equilibrium paradigm in finance.
In Physics of Finance, basic assumptions underlying equilibrium pricing are re-examined, the risk factors hidden in the implications of equilibrium theory and the potential profit in unstable markets are discussed and gauge modelling is introduced.

Preface.

Introduction.

Fibre Bundles in Finance: First Contact.

Fibre Bundles: Mathematics.

Fibre Bundles: Physics.

Fibre Bundles in Finance: Gauge Field Dynamics.

Dynamics of Fast Money Flows: I.

Dynamics of Fast Money Flows: II.

Virtual Arbitrage Pricing Theory.

Derivatives.

Conclusions.

Glossary.

References.

Index.

Kirill Ilinski graduated from the Physics Department of Leningrad State University. He received his PhD in mathematical physics from the Leningrad Branch of the Steklov Mathematical Institute of the Russian Academy of Sciences. He spent five years as a Research Fellow in the School of Physics at the University of Birmingham, where he became interested in applications of methods of theoretical physics to financial economics, and attracted the attention of both financial researchers and practitioners by introducing gauge modelling of asset prices out of equilibrium. He has written over 50 articles on financial mathematics, mathematical physics, mathematical methods in statistical physics and the theory of correlated systems. Dr Ilinski has joined the Equity Derivatives Desk at Chase Manhattan in London.