Interest Rates and Coupon Bonds in Quantum Finance
Publisher: Cambridge University| Pages: 508| 2009-10-30 | ISBN 0521889286 | PDF | 6 MB



The economic crisis of 2008 has shown that the capital markets need newtheoretical and mathematical concepts to describe and price financialinstruments. Focusing almost exclusively on interest rates and couponbonds, this book does not employ stochastic calculus - the bedrock ofthe present day mathematical finance - for any of the derivations.Instead, it analyzes interest rates and coupon bonds using quantumfinance. The Heath-Jarrow-Morton and the Libor Market Model aregeneralized by realizing the forward and Libor interest rates as animperfectly correlated quantum field. Theoretical models have beencalibrated 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) thisground-breaking book brings together a diverse collection oftheoretical and mathematical interest rate models. It will interestphysicists and mathematicians researching in finance, and professionalsworking in the finance industry