Interest Rate Coupon Quant Finance

Author:   Belal E Baaquie (National University of Singapore)
Publisher:   Cambridge University Press
ISBN:  

9786612393983


Pages:   510
Publication Date:   17 September 2009
Format:   Electronic book text
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

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Interest Rate Coupon Quant Finance


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Overview

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.

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Author:   Belal E Baaquie (National University of Singapore)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
ISBN:  

9786612393983


ISBN 10:   661239398
Pages:   510
Publication Date:   17 September 2009
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

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