TL;DR
This paper provides lecture notes for an advanced course on stochastic calculus and derivative pricing, using path integral methods from physics, aimed at Ph.D. students and finance professionals.
Contribution
It introduces stochastic calculus and derivative pricing through path integral techniques, bridging physics and quantitative finance educational approaches.
Findings
Introduces path integral methods in derivative pricing
Includes practical quiz problems with solutions
Provides a comprehensive physics-inspired approach to finance
Abstract
These are the lecture notes for an advanced Ph.D. level course I taught in Spring'02 at the C.N. Yang Institute for Theoretical Physics at Stony Brook. The course primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in theoretical physics, hence "Phynance". I also included several "quiz" problems (with solutions) comprised of (pre-)interview questions quantitative finance job candidates were sometimes asked back in those days. The course to a certain extent follows an excellent book "Financial Calculus: An Introduction to Derivative Pricing" by M. Baxter and A. Rennie.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.