an:05654458
Zbl 1179.91002
Baaquie, Belal E.
Interest rates and coupon bonds in quantum finance
EN
Cambridge: Cambridge University Press (ISBN 978-0-521-88928-5/hbk). xviii, 490~p. (2009).
2009
b
91-02 91G30 91G99 91B80 81P99
Publisher's description: Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus -- the bedrock of the present day mathematical finance -- for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author's previous book [Quantum finance. Path integrals and Hamiltonians for options and interest rates. Cambridge, Cambridge University Press. (2004; Zbl 1096.91021)] this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry.
Zbl 1096.91021; Zbl 1140.91035