Interest rates and coupon bonds in quantum finance:
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...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2010
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| Subjects: | |
| Online Access: | BSB01 FHN01 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xviii, 490 pages) |
| ISBN: | 9780511808715 |
| DOI: | 10.1017/CBO9780511808715 |
Staff View
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| 520 | |a 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 | ||
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Record in the Search Index
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| author_facet | Baaquie, B. E. |
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| contents | Interest rates and coupon bonds -- Options and option theory -- Interest rate and coupon bond options -- Quantum field theory of bond forward interest rates -- Libor market model of interest rates -- Empirical analysis of forward interest rates -- Libor market model of interest rate options -- Numeraires for bond forward interest rates -- Empirical analysis of interest rate caps -- Coupon bond European and Asian options -- Empirical analysis of interest rate swaptions -- Correlation of coupon bond options -- Hedging interest rate options -- Interest rate Hamiltonian and option theory -- American options for coupon bonds and interest rates -- Hamiltonian derivation of coupon bond options -- Mathematical background -- US debt markets |
| ctrlnum | (ZDB-20-CBO)CR9780511808715 (OCoLC)839010815 (DE-599)BVBBV043943801 |
| dewey-full | 332.8 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.8 |
| dewey-search | 332.8 |
| dewey-sort | 3332.8 |
| dewey-tens | 330 - Economics |
| discipline | Physik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511808715 |
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| id | DE-604.BV043943801 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:20Z |
| institution | BVB |
| isbn | 9780511808715 |
| language | English |
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| oclc_num | 839010815 |
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| owner | DE-12 DE-92 |
| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (xviii, 490 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO |
| publishDate | 2010 |
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| publisher | Cambridge University Press |
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| spelling | Baaquie, B. E. Verfasser aut Interest rates and coupon bonds in quantum finance Belal E. Baaquie Interest Rates & Coupon Bonds in Quantum Finance Cambridge Cambridge University Press 2010 1 online resource (xviii, 490 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Interest rates and coupon bonds -- Options and option theory -- Interest rate and coupon bond options -- Quantum field theory of bond forward interest rates -- Libor market model of interest rates -- Empirical analysis of forward interest rates -- Libor market model of interest rate options -- Numeraires for bond forward interest rates -- Empirical analysis of interest rate caps -- Coupon bond European and Asian options -- Empirical analysis of interest rate swaptions -- Correlation of coupon bond options -- Hedging interest rate options -- Interest rate Hamiltonian and option theory -- American options for coupon bonds and interest rates -- Hamiltonian derivation of coupon bond options -- Mathematical background -- US debt markets 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 Interest rates Zero coupon securities Finance Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf HJM-Modell (DE-588)4642940-2 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 s Stochastisches Modell (DE-588)4057633-4 s HJM-Modell (DE-588)4642940-2 s 1\p DE-604 Erscheint auch als Druckausgabe 978-0-521-88928-5 https://doi.org/10.1017/CBO9780511808715 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Baaquie, B. E. Interest rates and coupon bonds in quantum finance Interest rates and coupon bonds -- Options and option theory -- Interest rate and coupon bond options -- Quantum field theory of bond forward interest rates -- Libor market model of interest rates -- Empirical analysis of forward interest rates -- Libor market model of interest rate options -- Numeraires for bond forward interest rates -- Empirical analysis of interest rate caps -- Coupon bond European and Asian options -- Empirical analysis of interest rate swaptions -- Correlation of coupon bond options -- Hedging interest rate options -- Interest rate Hamiltonian and option theory -- American options for coupon bonds and interest rates -- Hamiltonian derivation of coupon bond options -- Mathematical background -- US debt markets Interest rates Zero coupon securities Finance Zinsstrukturtheorie (DE-588)4117720-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd HJM-Modell (DE-588)4642940-2 gnd |
| subject_GND | (DE-588)4117720-4 (DE-588)4057633-4 (DE-588)4642940-2 |
| title | Interest rates and coupon bonds in quantum finance |
| title_alt | Interest Rates & Coupon Bonds in Quantum Finance |
| title_auth | Interest rates and coupon bonds in quantum finance |
| title_exact_search | Interest rates and coupon bonds in quantum finance |
| title_full | Interest rates and coupon bonds in quantum finance Belal E. Baaquie |
| title_fullStr | Interest rates and coupon bonds in quantum finance Belal E. Baaquie |
| title_full_unstemmed | Interest rates and coupon bonds in quantum finance Belal E. Baaquie |
| title_short | Interest rates and coupon bonds in quantum finance |
| title_sort | interest rates and coupon bonds in quantum finance |
| topic | Interest rates Zero coupon securities Finance Zinsstrukturtheorie (DE-588)4117720-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd HJM-Modell (DE-588)4642940-2 gnd |
| topic_facet | Interest rates Zero coupon securities Finance Zinsstrukturtheorie Stochastisches Modell HJM-Modell |
| url | https://doi.org/10.1017/CBO9780511808715 |
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