ENGLISH

Interest Rates and Coupon Bonds in Quantum Finance

By Belal E. Baaquie

Book information

Year
2009
ISBN
0521889286, 9780521889285
LCC
HG1621 .I586 2009
Open Library ID
OL23554685M
Language
english
Format
PDF
Filesize
7 MB (7619595 bytes)
Edition
1
Pages
508\510
Topic
Economy
Time added
2011-06-04 13:46:07

Description

The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively 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, Cambridge University Press, 2004) 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.

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