Interest Rates and Coupon Bonds in Quantum Finance

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Imagen del editor. Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus? 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, this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models.

Zero-Coupon Bonds

It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry. Contents 1. Synopsis 2. Interest rates and coupon bonds 3. Options and option theory 4. The path integral representation kernel of evolution operator in Merton-Garman model.

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Condensed Matter Phys. Bormetti, G. Quantitative Finance 6 1. Burghelea, D. On the determinant of elliptic differential and finite difference operators in vector bundles over S1. Carr, P. Static hedging of exotic options.

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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansion. Journal of Economic Dynamics and Control 23 The evaluation of discrete barrier options in a path integral framework. In: Kontoghiorghes, E. Berlin: -Verlag, pp.

Quantum finance : path integrals and Hamiltonians for options and interest rates

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Path Integral and Asset Pricing - INSPIRE-HEP

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