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Simulation of nonlinear interest rates in quantum finance: Libor Market Model

  • Published:2012-02 Issue:4 Volume:391 Page:1287-1308
  • 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.,Tang Pan

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference17 articles.

1. The market model of interest rate dynamics;Gatarek;Mathematical Finance,1996

2. Libor and swap market models and measures;Jamshidian;Finance and Stochastics,1997

3. Interest rates in quantum finance: the Wilson expansion and Hamiltonian;Baaquie;Physical Review E,2009

4. Interest Rates and Coupon Bonds in Quantum Finance;Baaquie,2009

5. A joint empirical and theoretical investigation of the modes of deformation of swaption matrices: implications for model choice;Rebonato;International Journal of Theoretical and Applied Finance,2002

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1. Valuation of caps and swaptions under a stochastic string model;Physica A: Statistical Mechanics and its Applications;2020-12

2. Quantum Field Theory for Economics and Finance;2018-08-22

3. The quantum field model for treasury forward interest rate;Acta Physica Sinica;2018

4. Quantum Brownian motion model for the stock market;Physica A: Statistical Mechanics and its Applications;2016-06

5. Linearized Hamiltonian of the LIBOR market model: analytical and empirical results;Applied Economics;2015-09-28
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