Japanese version
I was astonishing that the imaginary time transformation(Wick rotation) makes Schroedinger equation for an electron in the electromagnetic field to Black-Scholes formula in the famous formula in economics. I recognized by John Baez's blog azimath that it is described on Phorgy Phynance. It might be related to Feynman-Kac formula. I have translated it into Japanese and post my blog.
Black-Scholes and Schroedinger(tentative)(in Japanese)
The original article:
Black-Scholes and Schrodinger
Categorified Option Pricing Theory
As John Baez's blog described, the following article on n-cafe contains the comments of the same contents posted Erik, who is the auther of this article.
ReplyDeletehttp://golem.ph.utexas.edu/category/2008/06/classical_string_theory_and_ca.html#c017145
in which he stressed that modeling the classical point particle theory and its categorification string theory, the point particle corresponds to the option and the strings to the bond "linear price curves."
Perhaps, This relationship is related to Feynman-Kac formula.
ReplyDeletesee en.wikipedia for "Feynman-Kac formula"
http://bit.ly/rTDfnl
On Japanese blog I introduced some textbooks in Japanese containing "Feynman-Kac formula."
The comment of n-cafe means that one might be apply the categorification of topological quantum field theory to mathematical finance.
ReplyDeleteIt is suprising for me.
I translate only the part of the opinion to apply the categorification of TQFT translated into Japanese, and post it as "Introducing categorification into mathmatical financial."