Hedging LIBOR derivatives in a field theory model of interest rates-Reference-Cited by-同舟云学术

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Hedging LIBOR derivatives in a field theory model of interest rates

Published:2007-02 Issue:2 Volume:374 Page:730-748
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Baaquie Belal E.,Liang Cui,Warachka Mitch C.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference10 articles.

1. Theory of Financial Risks: From Statistical Physics to Risk Management;Bouchaud,2000

2. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

3. Quantum Finance;Baaquie,2004

4. A quantum field theory term structure model applied to hedging;Baaquie;Int. J. Theoret. Appl. Finance,2003

5. Bond pricing and the term structure of interest rates: a new methodology for pricing contingent claims;Heath;Econometrica,1992

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2. Stochastic string models with continuous semimartingales;Physica A: Statistical Mechanics and its Applications;2015-09

3. The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension;Hidden Markov Models in Finance;2014

4. Stochastic String Models with Continuous Semimartingales;SSRN Electronic Journal;2014

5. The sensitivity analysis of propagator for path independent quantum finance model;Physica A: Statistical Mechanics and its Applications;2011-03

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