Interest Rates and Coupon Bonds in Quantum Finance - Hardcover

Baaquie, Belal E.

Hardcover

ISBN 10: 0521889286 ISBN 13: 9780521889285

Publisher: Cambridge University Press, 2009

Synopsis

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.

About this title

About the Author

Belal E. Baaquie is Professor of Physics in the Department of Physics at the National University of Singapore. He obtained his BS from Caltech and PhD from Cornell University. His specialization is in quantum field theory, and he has spent the last ten years applying quantum mathematics, and quantum field theory in particular, to quantitative finance. Professor Baaquie is an affiliated researcher with the Risk Management Institute, Singapore, and is a founding Editor of the International Journal of Theoretical and Applied Finance. His pioneering book Quantum Finance has created a new branch of research in theoretical and applied finance.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2009
• Language: English
• ISBN 10: 0521889286
• ISBN 13: 9780521889285
• Binding: Hardcover
• Edition number: 1
• Number of pages: 508