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

DOI10.1016/J.PHYSA.2017.09.045OpenAlexW2766956229MaRDI QIDQ2148174FDOQ2148174

Authors: Belal E. Baaquie, Miao Yu, Jitendra Bhanap 

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

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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
• Quantum Finance
• Path Integrals and Hamiltonians
• A NOTE ON RISKY BOND VALUATION

Cited In (4)

• Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
• Interest Rates and Coupon Bonds in Quantum Finance
• Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds
• Pricing of range accrual swap in the quantum finance Libor market model

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