A Common Market Measure For Libor And Pricing Caps, Floors And Swaps In A Field Theory Of Forward Interest Rates
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DOI: 10.1142/S0219024905003347
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Cited by:
- 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.
- Nicolò Cangiotti, 2024. "Feynman Diagrams beyond Physics: From Biology to Economy," Mathematics, MDPI, vol. 12(9), pages 1-17, April.
- 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 & Warachka, Mitch C., 2007. "Hedging LIBOR derivatives in a field theory model of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 730-748.
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Keywords
LIBOR; numeraire; caps; field theory; swaps;All these keywords.
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