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Comparison of Field Theory Models of Interest Rates with Market Data

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  • Belal E. Baaquie
  • Marakani Srikant

Abstract

We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.

Suggested Citation

  • Belal E. Baaquie & Marakani Srikant, 2002. "Comparison of Field Theory Models of Interest Rates with Market Data," Papers cond-mat/0208528, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0208528
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    File URL: http://arxiv.org/pdf/cond-mat/0208528
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    Cited by:

    1. Belal Baaquie & Jean-Philippe Bouchaud, 2004. ""Stiff" Field Theory of Interest Rates and Psychological Future Time," Papers cond-mat/0403713, arXiv.org.

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