Explaining The Forward Interest Rate Term Structure
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DOI: 10.1142/S0219024900000243
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References listed on IDEAS
- Andrew Matacz & Jean-Philippe Bouchaud, 1999. "An empirical investigation of the forward interest rate term structure," Science & Finance (CFM) working paper archive 500047, Science & Finance, Capital Fund Management.
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- Zhou, Wei-Xing & Sornette, Didier, 2004.
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- W. -X. Zhou & D. Sornette, 2003. "Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000," Papers cond-mat/0312658, arXiv.org.
- Baaquie, Belal E. & Tang, Pan, 2012. "Simulation of nonlinear interest rates in quantum finance: Libor Market Model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1287-1308.
- Baaquie, Belal E. & Liang, Cui, 2007. "Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(1), pages 331-348.
- Baaquie, Belal E. & Liang, Cui, 2007. "Pricing American options for interest rate caps and coupon bonds in quantum finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 285-316.
- 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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