Interest rates and coupon bonds in quantum finance
The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus – the bedrock of the present day mathematical finance...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2010
|
| Schlagworte: | |
| Online-Zugang: | DE-12 DE-92 URL des Erstveröffentlichers |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Inhaltsangabe:
- Interest rates and coupon bonds
- Options and option theory
- Interest rate and coupon bond options
- Quantum field theory of bond forward interest rates
- Libor market model of interest rates
- Empirical analysis of forward interest rates
- Libor market model of interest rate options
- Numeraires for bond forward interest rates
- Empirical analysis of interest rate caps
- Coupon bond European and Asian options
- Empirical analysis of interest rate swaptions
- Correlation of coupon bond options
- Hedging interest rate options
- Interest rate Hamiltonian and option theory
- American options for coupon bonds and interest rates
- Hamiltonian derivation of coupon bond options
- Mathematical background
- US debt markets