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Interest Rates and Coupon Bonds in Quantum Finance
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Interest Rates and Coupon Bonds in Quantum Finance Hardcover - 2009

by Belal E. Baaquie


From the publisher

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.

Details

  • Title Interest Rates and Coupon Bonds in Quantum Finance
  • Author Belal E. Baaquie
  • Binding Hardcover
  • Edition First Edition
  • Pages 508
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press, New Delhi, India
  • Date 2009-09-17
  • Features Bibliography, Glossary, Index, Table of Contents
  • ISBN 9780521889285 / 0521889286
  • Weight 2.5 lbs (1.13 kg)
  • Dimensions 9.7 x 6.7 x 1.1 in (24.64 x 17.02 x 2.79 cm)
  • Library of Congress subjects Finance, Interest rates
  • Library of Congress Catalog Number 2009024540
  • Dewey Decimal Code 332.8
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Interest Rates and Coupon Bonds in Quantum Finance
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Interest Rates and Coupon Bonds in Quantum Finance

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INTEREST RATES AND COUPON BONDS IN QUANTUM FINANCE
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