Pricing of range accrual swap in the quantum finance Libor market model

DOI10.1016/J.PHYSA.2014.01.042MaRDI QIDQ1782677zbMATH OpenOpenAlexFDO

Authors G. Richomme

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.01.042

zbMATH Keywords

Monte Carlo simulationquantum financerange accrual swap

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• Financial modeling and quantum mathematics
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest Rates and Coupon Bonds in Quantum Finance
• MultiFactor Valuation of Floating Range Notes
• Quantum field theory and the Jones polynomial
• Quantum Finance

Cited in

(2)

• Risky forward interest rates and swaptions: quantum finance model and empirical results
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM

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