A Quantum Field Theory Term Structure Model Applied to Hedging
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Publication:5696861
DOI10.1142/S0219024903001980zbMath1079.91019arXivcond-mat/0206457MaRDI QIDQ5696861
Mitch Warachka, Belal Ehsan Baaquie, Marakani Srikant
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0206457
81P99: Foundations, quantum information and its processing, quantum axioms, and philosophy
Cites Work
- Interest Rate Dynamics and Consistent Forward Rate Curves
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- Characterizing Gaussian Models of the Term Structure of Interest Rates
- Bond Market Structure in the Presence of Marked Point Processes
- AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
- Phenomenology of the interest rate curve