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9780521889285

Interest Rates and Coupon Bonds in Quantum Finance

by
  • ISBN13:

    9780521889285

  • ISBN10:

    0521889286

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2009-10-30
  • Publisher: Cambridge University Press

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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.

Table of Contents

Synopsis
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
Appendixes
Glossaries
List of symbols
Reference
Index
Table of Contents provided by Publisher. All Rights Reserved.

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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