Events at The University of Manchester
  • University home
  • Events
  • Home
  • Exhibitions
  • Conferences
  • Lectures and seminars
  • Performances
  • Events for prospective students
  • Sustainability events
  • Family events
  • All Events

HIMR-sponsored Probability Seminar: Lane Hughston - Valuation of a financial claim contingent on the outcome of a quantum measurement

Dates:2 April 2025
Times:15:00 - 16:00
What is it:Seminar
Organiser:Department of Mathematics
See travel and contact information
Add to your calendar

More information

  • Lane's webpage

Other events

  • In category "Seminar"
  • In group "(Maths) Probability and statistics"
  • By Department of Mathematics

Lane Hughston (School of Computing, Goldsmiths University of London) will speak at the HIMR-sponsered Probability seminar.

Title: Valuation of a financial claim contingent on the outcome of a quantum measurement7

Abstract: In this interdisciplinary study at the interface of finance theory and quantum theory, we consider a rational agent who at time 0 enters into a financial contract for which the payout is determined by a quantum measurement at some time T > 0. The state of the quantum system is given in the Heisenberg representation by a known density matrix p. How much will the agent be willing to pay at time 0 to enter into such a contract? In the case of a finite dimensional Hilbert space H, each such claim is represented by an observable X where the eigenvalues of X determine the amount paid if the corresponding outcome is obtained in the measurement. We use Gleason's theorem to prove, under reasonable axioms, that there exists a pricing state q which is equivalent to the physical state p such that the pricing function ? takes the linear form ?(X) = P0T tr(qX) for any claim X, where P0T is the one-period discount factor. By ‘equivalent’ we mean that p and q share the same null space: that is, for any |?? ? H one has p|?? = 0 if and only if q|? ? = 0. We introduce a class of optimization problems and solve for the optimal contract payout structure for a claim based on a given measurement. Then we consider the implications of the Kochen–Specker theorem in this setting and we look at the problem of forming portfolios of such contracts. This work illustrates how ideas from the theory of finance can be successfully applied in a non-Kolmogorovian setting. Based on work with L. G. Sánchez-Betancourt (University of Oxford). The paper can be found at J. Phys. A: Math. Theor. 57 (2024) 285302.

Travel and Contact Information

Find event

G.205
Alan Turing Building
Manchester

Contact event

Jose Pedraza Ramirez

jose.pedrazaramirez@manchester.ac.uk

Contact us

  • +44 (0) 161 306 6000

Find us

The University of Manchester
Oxford Rd
Manchester
M13 9PL
UK

Connect with the University

  • Facebook page for The University of Manchester
  • X (formerly Twitter) page for The University of Manchester
  • YouTube page for The University of Manchester
  • Instagram page for The University of Manchester
  • TikTok page for The University of Manchester
  • LinkedIn page for The University of Manchester

  • Privacy /
  • Copyright notice /
  • Accessibility /
  • Freedom of information /
  • Charitable status /
  • Royal Charter Number: RC000797
  • Close menu
  • Home
    • Featured events
    • Today's events
    • The Whitworth events
    • Manchester Museum events
    • Jodrell Bank Discovery Centre events
    • Martin Harris Centre events
    • The John Rylands Library events
    • Exhibitions
    • Conferences
    • Lectures and seminars
    • Performances
    • Events for prospective students
    • Sustainability events
    • Family events
    • All events