Price of coupon bond options in a quantum field theory of forward interest rates

Physica A: Statistical Mechanics and its Applications

Volumn 370, Issue 1, 2006, Pages 98-103

  Baaquie, Belal E ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Coupon bond option; Forward interest rates; Quantum field theory

Indexed keywords

FUNCTIONS; MATHEMATICAL MODELS; NONLINEAR SYSTEMS; PERTURBATION TECHNIQUES; STATISTICAL MECHANICS;

COUPON BOND OPTIONS; FEYNMAN PERTURBATION; FORWARD INTEREST RATES; QUANTUM FIELD THEORY;

QUANTUM THEORY;

EID: 33747351319     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.021     Document Type: Article

References (7)

1. Dai Q., and Singleton K. Term structure dynamics in theory and reality. Rev. Financial Stud. 16 3 (2003) 631-678
2. Brigo D., and Mercurio F. Interest Rate Models-Theory and Practise (2001), Springer-Verlag
3. B.E. Baaquie, Feynman perturbation expansion for the coupon bond option and swaption in a quantum field theory of forward interest rates, 2006, in preparation.
4. Baaquie B.E. Quantum Finance (2004), Cambridge University Press, Cambridge (and references cited therein)
5. B.E. Baaquie, J.-P. Bouchaud, Wilmott Magazine, March 2004.
6. Jarrow R., and Turnbull S. Derivative Securities. Second Ed. (2000), South Western College Publishing, CinCinnatti, OH
7. Zinn-Justin J. Quantum Field Theory and Critical Phenomenon (1992), Oxford University Press, Oxford