Risky forward interest rates and swaptions: quantum finance model and empirical results

DOI10.1016/J.PHYSA.2017.09.045OpenAlexW2766956229MaRDI QIDQ2148174

Miao Yu, Jitendra Bhanap, Belal Ehsan Baaquie

Publication date: 23 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.09.045

zbMATH Keywords

swaptionquantum financeforward interest rates

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Forecasting the term structure of government bond yields
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Interest Rates and Coupon Bonds in Quantum Finance
• A NOTE ON RISKY BOND VALUATION
• Path Integrals and Hamiltonians
• Quantum Finance

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