کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974536 932989 2009 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Empirical analysis of quantum finance interest rates models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Empirical analysis of quantum finance interest rates models
چکیده انگلیسی

Empirical forward interest rates drive the debt markets. Libor and Euribor futures data is used to calibrate and test models of interest rates based on the formulation of quantum finance. In particular, all the model parameters, including interest rate volatilities, are obtained from market data. The random noise driving the forward interest rates is taken to be a Euclidean two dimension quantum field. We analyze two models, namely the bond forward interest rates, which is a linear theory and the Libor Market Model, which is a nonlinear theory. Both the models are analyzed using Libor and Euribor data, with various approximations to match the linear and nonlinear models. The results are quite good, with the linear model having an accuracy of about 99% and the nonlinear model being slightly less accurate. We extend our analysis by directly using the Zero Coupon Yield Curve (ZCYC) data for Libor and for bonds; but due to some technical difficulties we could not derive the models parameters directly from the ZCYC data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 13, 1 July 2009, Pages 2666–2681
نویسندگان
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