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Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2007-06-25 17:00
Hey Guys, I am a student and new to the PHORUM ...I hope I don't ask anything stupid:
Did anyone read:Physics of Finance: Gauge Modelling in Non-equilibrium Pricing, written by Kirill Illinski? I did(or at least tryed to read it)..does that stuff work? Is it used by financial institutions or pure science fiction?
Thanx and regards

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2007-06-25 17:05
I've read it. It certainly is not used by anyone that I know of besides perhaps Ilinski himself (although I even doubt that he uses it). I am fond of the idea of relating arbitrage to curvature though. You can find a few random comments on the subject using the search feature.

Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2007-06-25 22:50
thanks for the reply, Phorgy Phynance

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

LongTheta
The Snowman

Total Posts: 3100
Joined: Mar 2004
 
Posted: 2007-06-26 16:27

Ilinski's ideas are definitely not useable, and it's not entirely clear they that they are correct.

I wonder what became of him. It's been about 4 or 5 years since I read anything about him.


Time is on my side.

Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2007-06-26 17:09
I think he is still working for chase...and I did not find any recent publications of him too, and that's what made me actually post the question....if you know something that gives you an competitive advantage you are maybe not so keen on publishing them ...maybe there are other reasons, just an idear though..but all people I talked to, said the book is nice, but not useable

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2007-06-26 17:17
Ilinsky aside (I wouldn't vouch for the correctness of his stuff either), a lot of no arbitrage concepts (like basic arguments you would find in Hull) remind me a lot of the Aharonov-Bohm effect.

For example, if you think of a "space of portfolios", then a transaction represents a path in this space. Begin with a given portfolio, which is represented as a point in this space. Perform a series of transactions (i.e. transport the portfolio along a path) to end up at some final portfolio. Absence of arbitrage means that no matter what path you take, i.e. no matter what transaction you perform, if you end up at the same point in "portfolio space", the total value of the portfolio is the same.

This is exactly the same concept as the AB effect, with "value" replaced by "phase", "transactions" replaced with "paths", and "arbitrage" replaced by "curvature" (or "magnetic field").

That is fun to think about, but who has time for fun these days? Back to the grind...




djanklod


Total Posts: 57
Joined: Jul 2007
 
Posted: 2007-08-01 22:32
Ilinski is definitely not recommended for finance. But his mathematical introduction is very good if you're looking for a primer for his corner of theoretical physics!

Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2017-11-05 19:11
Recently went through my older books and again had Ilinskis book in my hand. And I recalled this thread and how much guidance this great phorum provided.

So just a random thank you to everybody contributing here.


Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
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