Interest Rates and Coupon Bonds in Quantum Finance (BOK)

Belal E. Baaquie

859,00 85900
Sendes vanligvis innen 5-15 dager
The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing 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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2009 Forfatter Belal E. Baaquie
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9780521889285
Antall sider 508 Dimensjoner 17,4cm x 24,7cm x 2,5cm
Vekt 1140 gram Leverandør Bertram Trading Ltd
Emner og form Finance, Applied mathematics