Page 1 of 1
Riemann zeta function finance, much used?
Posted: March 4th, 2019, 8:24 pm
by Collector
I have used the Riemann zeta function a few times in practical option valuation, discrete barrier adjustments, Glasserman style
(see for example my Incomplete Guide) or the Glass paper:
http://citeseerx.ist.psu.edu/viewdoc/do ... 1&type=pdf
see also
https://www.sciencedirect.com/science/a ... 2712002567
http://www.columbia.edu/~sk75/sinica.pdf
much other use off the Riemann zeta function in finance?
Riemann Zeta Function and the Brownian Motion of Asset Prices: Number Theory meets Quantitative Finance
Re: Riemann zeta function finance, much used?
Posted: March 19th, 2019, 2:37 pm
by Pat
or the Milne extrapolation length for weakly colored noise ...
Re: Riemann zeta function finance, much used?
Posted: March 19th, 2019, 8:07 pm
by Cuchulainn
?
much other use off the Riemann zeta function in finance?
RZ -> prime number -> RNG -> MC path -> the price
Not a shock.
Re: Riemann zeta function finance, much used?
Posted: March 20th, 2019, 8:09 am
by Collector
?
much other use off the Riemann zeta function in finance?
RZ -> prime number -> RNG -> MC path -> the price
Not a shock.
quasi random MC? "primes ending in 1 were less likely to be followed by another prime ending in 1. That shouldn’t happen if the primes were truly random"
https://www.newscientist.com/article/20 ... e-numbers/ Shocking !
Re: Riemann zeta function finance, much used?
Posted: March 22nd, 2019, 11:02 am
by Cuchulainn
RZ seems to have feet in two camps, namely integers and complex numbers. This means it probably misses on real analysis. Cauchy sequences of prime numbers are difficult.
https://www.boost.org/doc/libs/1_60_0/l ... /zeta.html
Connection RH and discrete dynamical systems
http://citeseerx.ist.psu.edu/viewdoc/do ... 1&type=pdf
A nice weekend exercise is to do eq. (14).
Re: Riemann zeta function finance, much used?
Posted: March 22nd, 2019, 11:46 am
by Cuchulainn
That shouldn’t happen if the primes were truly random
Did someone say they were random?