150 citations · 775 across the 13 of their papers we have counts for
14 papers
Path Dependent Option Pricing: the path integral partial averaging method
Andrew Matacz
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 poss…
Explaining the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a pre…
An Empirical Investigation of the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate…
Financial Modeling and Option Theory with the Truncated Levy Process
Andrew Matacz
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite m…
Thermal Particle Creation in Cosmological Spacetimes: A Stochastic Approach
Don Koks, B. L. Hu, Andrew Matacz +1
The stochastic method based on the influence functional formalism introduced in an earlier paper to treat particle creation in near-uniformly accelerated detectors and collapsing m…
Inflation and the Fine-Tuning Problem
Andrew Matacz
I describe a recently derived stochastic approach to inflaton dynamics which can address some serious problems associated with conventional inflationary theory. Using this theory I…