We provide numerical solutions based on the path integral representation of stochastic processes for non-gradient drift Langevin forces in the presence of noise, to follow the temporal evolution of ...

This four-day mathematical physics conference takes place in Helsinki, September 3-6, 2024. It covers probabilistic and path integral methods in quantum and statistical field theory, highlighting in ...

Using the path-integral formalism, Ryan Parker, Mark Stedman and Luca Capriotti develop an accurate and easy-to-compute semi-analytical approximation for a general class of default intensity models.

In this paper I develop a new computational method for pricing path-dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform ...