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MF is linked with physics mostly because it solves the same PDEs (Black-Scholes equation is a certain type of Schrödinger equation for instance). As for the specific links you mentioned : Lie Algebra : Magnus expansion (to build fast approximation of time dependent ODEs like those arising in credit risk) Differential geometry : link with Varadhan ...


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I cannot suggest some reference particularly, since the field is going to develop day by day, but, generally, you could take a look to: Engelmann, Bernd, and Robert Rauhmeier, eds. The Basel II risk parameters: estimation, validation, and stress testing. Springer Science & Business Media, 2006. Particularly, look at the chapter 4 and 5; the ...



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