| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481598 | Physica A: Statistical Mechanics and its Applications | 2011 | 17 Pages |
Abstract
⺠Three dominant dynamics of propagator from Libor market is found. ⺠Two dominant dynamics of integrated propagator from bond market is found. ⺠The vega risk is analyzed under the quantum finance framework.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Min Jae Kim, Dong Il Hwang, Sun Young Lee, Soo Yong Kim,