Interest Rates and Coupon Bonds in Quantum Finance

By: Belal E. Baaquie

Price: $69.00

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Book Condition: New


he 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. Contents 1. Synopsis 2. Interest rates and coupon bonds 3. Options and option theory 4. Interest rate and coupon bond options 5. Quantum field theory of bond forward interest rates 6. Libor Market Model of interest rates 7. Empirical analysis of forward interest rates 8. Libor Market Model of interest rate options 9. Numeraires for bond forward interest rates 10. Empirical analysis of interest rate caps 11. Coupon bond European and Asian options 12. Empirical analysis of interest rate swaptions 13. Correlation of coupon bond options 14. Hedging interest rate options 15. Interest rate Hamiltonian and option theory 16. American options for coupon bonds and interest rates 17. Hamiltonian derivation of coupon bond options Appendixes Glossaries List of symbols Reference Index. Printed Pages: 508 with 25 b/w illustrations.

Title: Interest Rates and Coupon Bonds in Quantum Finance

Author Name: Belal E. Baaquie

Categories: Finance,

Edition: First Edition

Publisher: New Delhi, India, Cambridge University Press: 2009

ISBN: 0521889286

ISBN 13: 9780521889285

Binding: Hardcover

Book Condition: New

Jacket Condition: New

Size: 180 x 255 Mm

Seller ID: 029185

Keywords: Interest Rates Coupon Bonds in Quantum Finance