4,233 research outputs found
Infinite Dimensional Quantum Information Geometry
We present the construction of an infinite dimensional Banach manifold of
quantum mechanical states on a Hilbert space H using different types of small
perturbations of a given Hamiltonian. We provide the manifold with a flat
connection, called the exponential connection, and comment on the possibility
of introducing the dual mixture connection.Comment: Proceedings of the Disordered and Complex Systems, King's College,
London, 10-14 July 2000 (satellite meeting of the ICMP2000
Dual Connections in Nonparametric Classical Information Geometry
We construct an infinite-dimensional information manifold based on
exponential Orlicz spaces without using the notion of exponential convergence.
We then show that convex mixtures of probability densities lie on the same
connected component of this manifold, and characterize the class of densities
for which this mixture can be extended to an open segment containing the
extreme points. For this class, we define an infinite-dimensional analogue of
the mixture parallel transport and prove that it is dual to the exponential
parallel transport with respect to the Fisher information. We also define
{\alpha}-derivatives and prove that they are convex mixtures of the extremal
(\pm 1)-derivatives
The explicit Laplace transform for the Wishart process
We derive the explicit formula for the joint Laplace transform of the Wishart
process and its time integral which extends the original approach of Bru. We
compare our methodology with the alternative results given by the variation of
constants method, the linearization of the Matrix Riccati ODE's and the
Runge-Kutta algorithm. The new formula turns out to be fast and accurate.Comment: Accepted on: Journal of Applied Probability 51(3), 201
An analytic multi-currency model with stochastic volatility and stochastic interest rates
We introduce a tractable multi-currency model with stochastic volatility and
correlated stochastic interest rates that takes into account the smile in the
FX market and the evolution of yield curves. The pricing of vanilla options on
FX rates can be performed effciently through the FFT methodology thanks to the
affinity of the model Our framework is also able to describe many non trivial
links between FX rates and interest rates: a second calibration exercise
highlights the ability of the model to fit simultaneously FX implied
volatilities while being coherent with interest rate products
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