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Joined: January 3rd, 2019, 11:33 am

Algebraic geometry / sheaf cohomology in derivatives pricing

December 23rd, 2020, 10:20 am

Hello experts,

I hope this is the right section to ask this question : are there any papers describing some approaches to using algebraic geometry in the guise of schemes or sheaf cohomology generally to pricing problems ?

I am thinking of approaches defining an equivalent to Spec(Z) for the space of attainable claims where obviously the prime ideals (or maybe maximal ideals- not sure) would be the payoffs of market instruments, and then using homological algebra to get some interesting results.

I have looked on arxiv but could not find anything in the AG section.

edit: just to be sure: I am aware of algebraic statistics but this is not what I am referring to here.

Many thanks