Interest rates and coupon bonds in quantum finance
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Author
Publication
2010 - Cambridge University Press, Cambridge, UK, England
Language
English
Word Count
122,500 words, Guess
Page Count
490 pages
Identifiers
- ISBN-100521889286
- ISBN-139780521889285
- Library of Congress Control Number2009024540
- OCLC Control Number286434852
- Better World Books9780521889285
and 1 more
- Open LibraryOL23988488M
Classifications
- DDC332.8
- LCCHG1621 .B33 2010
- LCCHG1621.I586 2009
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"--Provided by publisher.
Subjects
Other Editions
- Interest rates and coupon bonds in quantum finance
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