Simulation of nonlinear interest rates in quantum finance: Libor Market Model
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DOI: 10.1016/j.physa.2011.08.021
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Leif Andersen & Jesper Andreasen, 2000. "Volatility skews and extensions of the Libor market model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(1), pages 1-32.
- Baaquie, Belal E., 2010. "Interest rates in quantum finance: Caps, swaptions and bond options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 296-314.
- Baaquie, Belal E. & Pan, Tang, 2011. "Simulation of coupon bond European and barrier options in quantum finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 263-289.
- Riccardo Rebonato & Mark Joshi, 2002. "A Joint Empirical And Theoretical Investigation Of The Modes Of Deformation Of Swaption Matrices: Implications For Model Choice," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(07), pages 667-694.
- Andrew Matacz & Jean-Philippe Bouchaud, 2000. "Explaining The Forward Interest Rate Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 381-389.
- Baaquie, Belal E. & Yang, Cao, 2009. "Empirical analysis of quantum finance interest rates models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(13), pages 2666-2681.
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Cited by:
- Xiangyi Meng & Jian-Wei Zhang & Jingjing Xu & Hong Guo, 2014. "Quantum spatial-periodic harmonic model for daily price-limited stock markets," Papers 1405.4490, arXiv.org.
- Meng, Xiangyi & Zhang, Jian-Wei & Guo, Hong, 2016. "Quantum Brownian motion model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 281-288.
- Pan Tang & Belal E. Baaquie & Xin Du & Ying Zhang, 2016. "Linearized Hamiltonian of the LIBOR market model: analytical and empirical results," Applied Economics, Taylor & Francis Journals, vol. 48(10), pages 878-891, February.
- Baaquie, Belal E. & Du, Xin & Tang, Pan & Cao, Yang, 2014. "Pricing of range accrual swap in the quantum finance Libor Market Model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 182-200.
- Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
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Keywords
Quantum finance; Libor Market Model; Coupon bond options; Caplet; Swaptions; Monte Carlo simulation;All these keywords.
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