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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Baaquie, B. E.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2010.
Temas:
Interest rates.
Zero coupon securities.
Finance.
Taux d'intérêt.
Obligations à coupon zéro.
Finances.
finance.
BUSINESS & ECONOMICS > Interest.
HJM-Modell
Zinsstrukturtheorie > Stochastisches Modell.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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