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Interest rates and coupon bonds in quantum finance /
"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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
2010.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Baaquie, B. E. | |
| 245 | 1 | 0 | |a Interest rates and coupon bonds in quantum finance / |c Belal E. Baaquie. |
| 260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c 2010. | ||
| 300 | |a 1 online resource (xviii, 490 pages) : |b illustrations | ||
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| 504 | |a Includes bibliographical references (pages 481-485) and index. | ||
| 520 | |a "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"--Provided by publisher | ||
| 505 | 0 | |a 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 -- Mathematical background -- US debt markets. | |
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
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| 650 | 0 | |a Interest rates. | |
| 650 | 0 | |a Zero coupon securities. | |
| 650 | 0 | |a Finance. | |
| 650 | 6 | |a Taux d'intérêt. | |
| 650 | 6 | |a Obligations à coupon zéro. | |
| 650 | 6 | |a Finances. | |
| 650 | 7 | |a finance. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Interest. |2 bisacsh | |
| 650 | 7 | |a Finance. |2 fast |0 (OCoLC)fst00924349 | |
| 650 | 7 | |a Interest rates. |2 fast |0 (OCoLC)fst00976178 | |
| 650 | 7 | |a Zero coupon securities. |2 fast |0 (OCoLC)fst01184288 | |
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| 650 | 0 | 7 | |a Zinsstrukturtheorie |x Stochastisches Modell. |2 swd |
| 776 | 0 | 8 | |i Print version: |a Baaquie, B.E. |t Interest rates and coupon bonds in quantum finance. |d Cambridge, UK ; New York : Cambridge University Press, 2010 |z 9780521889285 |w (DLC) 2009024540 |w (OCoLC)286434852 |
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