Interest Rates and Coupon Bonds in Quantum Finance 1st Edition by Belal Baaquie 9780511630361 0511630360
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Authors:Baaquie, Belal E. , Series:Management [677] , Author sort:Baaquie, Belal E. , Languages:Languages:eng , Published:Published:Aug 2009 , Publisher:CAMBRIDGE UNIVERSITY PRESS
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ISBN 10:0511630360
ISBN 13:9780511630361
Author: Belal Baaquie
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 and Coupon Bonds in Quantum Finance 1st Table of contents:
Chapter 2 Interest rates and coupon bonds
Chapter 3 Options and option theory
Chapter 4 Interest rate and coupon bond options
Chapter 5 Quantum field theory of bond forward interest rates
Chapter 6 Libor Market Model of interest rates
Chapter 7 Empirical analysis of forward interest rates
Chapter 8 Libor Market Model of interest rate options
Chapter 9 Numeraires for bond forward interest rates
Chapter 10 Empirical analysis of interest rate caps
Chapter 11 Coupon bond European and Asian options
Chapter 12 Empirical analysis of interest rate swaptions
Chapter 13 Correlation of coupon bond options
Chapter 14 Hedging interest rate options
Chapter 15 Interest rate Hamiltonian and option theory
Chapter 16 American options for coupon bonds and interest rates
Chapter 17 Hamiltonian derivation of coupon bond options
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