Interest rates and coupon bonds in quantum finance

著者

書誌事項

Interest rates and coupon bonds in quantum finance

Belal E. Baaquie

Cambridge University Press, 2010

  • : hardback

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注記

Includes bibliographical references (p. 481-485) and index

内容説明・目次

内容説明

The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. 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, 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.

目次

  • 1. Synopsis
  • 2. Interest rates and coupon bonds
  • 3. Options and option theory
  • 4. Interest rate and coupon bond options
  • 5. Quantum field theory of bond forward interest rates
  • 6. Libor Market Model of interest rates
  • 7. Empirical analysis of forward interest rates
  • 8. Libor Market Model of interest rate options
  • 9. Numeraires for bond forward interest rates
  • 10. Empirical analysis of interest rate caps
  • 11. Coupon bond European and Asian options
  • 12. Empirical analysis of interest rate swaptions
  • 13. Correlation of coupon bond options
  • 14. Hedging interest rate options
  • 15. Interest rate Hamiltonian and option theory
  • 16. American options for coupon bonds and interest rates
  • 17. Hamiltonian derivation of coupon bond options
  • Appendixes
  • Glossaries
  • List of symbols
  • Reference
  • Index.

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