2 papers
hep-th2002
Sigma Model Lagrangian for the Heisenberg Group
Belal E. Baaquie, Yim Kok Kean
We study the Lagrangian for a sigma model based on the non-compact Heisenberg group. A unique feature of this model -- unlike the case for compact Lie groups -- is that the definit…
cond-mat2000
Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns
Belal E. Baaquie, L. C. Kwek, M. Srikant
We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We nume…