Interest rates and coupon bonds in quantum finance

  • 0.92 MB
  • 6144 Downloads
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Cambridge University Press , Cambridge, UK, New York
Interest rates, Zero coupon securities, Fi
StatementBelal E. Baaquie.
Classifications
LC ClassificationsHG1621 .I586 2009
The Physical Object
Paginationp. cm.
ID Numbers
Open LibraryOL23554685M
ISBN 139780521889285
LC Control Number2009024540

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 by: 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 by: 2. Interest Rates and Coupon Bonds in Quantum Finance - by Belal E. Baaquie September Focusing almost exclusively 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. Instead, it analyzes interest rates and coupon bonds using quantum Heath–Jarrow–Morton model and the Libor Market Model are gener- alized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field.

Book Search tips Selecting this option will search all publications across the Scitation platform Selecting this option will search all publications for the Publisher/Society in context. Interest Rates and Coupon Bonds in Quantum Finance.

American Journal of Phys (); Quantum Information. Barbara M. Terhal. more Cited by: 1. The economic crisis of has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments.

Focusing almost exclusively 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. Title: Interest Rates and Coupon Bonds in Quantum Finance: Authors: Baaquie, Belal E.

Publication: Interest Rates and Coupon Bonds in Quantum Finance, by Belal E. Baaquie, Cambridge, UK: Cambridge University Press, 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. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus for any of the derivations.

Instead, interest rates and coupon bonds are studied using quantum finance, providing readers with a completely different perspective on finance/5(2). Path Integrals and Hamiltonians for Options and Interest Rates. Author: Belal E. Baaquie; Publisher: Cambridge University Press ISBN: Category: Business & Economics Page: N.A View: DOWNLOAD NOW» This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the theory of options.

Interest Rates and Coupon Bonds in Quantum Finance, by Belal E. Baaquie Article in Contemporary Physics 52(2) March with 19 Reads How we measure 'reads'.

As an alternative, it analyzes rates of interest and coupon bonds utilizing quantum finance. The Heath-Jarrow-Morton and the Libor Market Mannequin are generalized by realizing the ahead and Libor rates of interest as an imperfectly correlated quantum subject.

these Þelds. He has written two books on quantum Þnance: Quantum Finance (Cambridge University Press, ) and Interest Rates and Coupon Bonds in Quantum Finance (Cambridge University Press, ), in addition to several other books focusing on topics from quantum mechanics and mathematics to books on leading ideas in science.

Numerical algorithms and simulations are applied to the study of asset pricing models as well as of nonlinear interest rates. A range of economic and financial topics are shown to have quantum mechanical formulations, including options, coupon bonds, nonlinear interest rates, risky bonds and the microeconomic action by: 2.

Ebooks list page: ; Interest Rates and Coupon Bonds in Quantum Finance; [PDF] Interest Rates and Coupon Bonds in Quantum Finance; Cambridge.

e; Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management [Repost]; Things. Interest Rates and Coupon Bonds in Quantum Finance Interest Rates and Coupon Bonds in Quantum Finance Baaquie, Belal E.; Schaden, Martin The downloaded PDF for any Review in this section contains all the Reviews in this section.

Hans C. von Baeyer, Editor Department of Physics, College of William and Mary, Williamsburg, Virginia ; [email protected] Quantum. Synopsis 2.

Interest rates and coupon bonds 3. Options and option theory 4. Interest rate and coupon bond options 5. Quantum field theory of bond forward interest rates 6. Interest Rates and Coupon Bonds in Quantum Finance: Baaquie, Belal E.: Books - ews: 2.

2 Interest rates and coupon bonds 3 Introduction 3 Expanding global money capital 4 New centers of global finance 8 Interest rates 9 Three definitions of interest rates 10 Coupon and zero coupon bonds 12 Continuous compounding: forward interest rates 14 Instantaneous forward interest rates 16 Libor and Euribor Interest Rates and Coupon Bonds in Quantum Finance by Belal E.

Baaquie English | Oct. 30, | ISBN: | Pages | PDF | 7 MB The economic crisis of has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Interest Rates and Coupon Bonds in Quantum Finance by Belal E.

Baaquie,available at Book Depository with free delivery worldwide.

Description Interest rates and coupon bonds in quantum finance PDF

American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American by: 4.

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Find books. 5, Interest Rates and Coupon Bonds in Quantum Finance. Cambridge University Press. Belal E. Baaquie. interest bond libor option coupon interest rates price forward interest coupon bond market forward interest rates.

An interest rate swaption is an option for entering an interest rate swap and is a special case of a coupon bond option. The daily 2 by 10 Libor swaption model and market prices are plotted in Fig. 9 ; the model’s predicted price has an overall accuracy of over 96%.Cited by: 7.

Interest Rates and Coupon Bonds in Quantum Finance. American Journal of Phys (); Quantum theory; Stochastic processes; Careers and professions; News and events; Quantum state; Dirac bracket; Natural disasters; Quantum mechanical systems and processes; Books; REFERENCES.

Belal E. Baaquie, Quantum Finance (Cambridge U. by: 1. Another example would be that a $1, face value bond has a coupon interest rate of 5%. No matter what happens to the bond's price, the bondholder receives $50 that year from the issuer.

However, if the bond price climbs from $1, to $1, the effective yield on that bond changes from 5% to   The par value is simply the face value of the bond or the value of the bond as stated by the issuing entity.

Thus, a $1, bond with a coupon rate of 6% pays $60 in interest annually and a $2, bond with a coupon rate of 6% pays $. Not Available adshelp[at] The ADS is operated by the Smithsonian Astrophysical Observatory under NASA Cooperative Agreement NNX16AC86ACited by: 1.

Downloadable (with restrictions). American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance.

Details Interest rates and coupon bonds in quantum finance EPUB

Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options.

The algorithm is shown to hold over a wide range of strike prices. This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the theory of options.

Particular emphasis is placed on path integrals and Hamiltonians. Financial mathematics is dominated by stochastic calculus. The present book offers a formulation that is completely independent of that approach.A bond pays interest either periodically or, in the case of zero coupon bonds, at maturity.

Therefore, the value of the bond is equal to the sum of the present value of all future payments — hence, it is the present value of an annuity, which is a series of periodic present value is calculated using the prevailing market interest rate for the term and risk profile of the bond.If the general level of interest rates increase from 5 percent, and investors now demand 6 percent, investors will not pay $1, for a 5 percent coupon bond trading in the secondary market.