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

DOI10.1016/J.PHYSA.2017.09.045MaRDI QIDQ2148174zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

swaptionquantum financeforward interest rates

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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

Cited in

(5)

• 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
• A quantum mechanics for interest rate derivatives markets
• Pricing of range accrual swap in the quantum finance Libor market model

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