Ask
Search
My library
ORKG

ORKG Ask

Our mission is to organize scholarly knowledge and make it accessible to humans and machines.

About

About ORKG Ask
Report issue
Statistics
Contact

Legal

Terms of use
Data protection (sheet)
Imprint
Accessibility
License

Technical

We
open source
System status
Changelog
Frontend: v1.41.0
Backend: v1.13.4

We use cookies to provide a better user experience.

Data Protection

Simulation of nonlinear interest rates in quantum finance: Libor Market Model

Baaquie, B.E.
Tang, P.

Publication date

February 2012

DOI

10.1016/j.physa.2011.08.021

Publisher

Elsevier BV

ISSN

0378-4371

Citation count (estimate)

4

Abstract

10.1016/j.physa.2011.08.021Physica A: Statistical Mechanics and its Applications39141287-1308PHYA

Extracted data

Related items

Finite-Dimensional Quantum Model For The Stock Market, Discrete Nature Of The Quantities Used In Finance, Spectral Representation Of Bessel Processes With Constant Drift, Credit Spreads, And Stochastic Volatility In Finance, Quantum Structure In Cognition

Kumar, K.N.P.

February 2013

Following structural and syllogistical confederational concatenation is studied with concomitant and...

Statistical mechanics of nonlinear nonequilibrium financial markets

Ingber, Lester

December 1984

AbstractAn approach to understanding the nature of markets is modelled using methods of modern nonli...

A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates

Ballestra, Luca Vincenzo
Pacelli, Graziella
Zirilli, Francesco

January 2008

We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...

Empirical analysis of quantum finance interest rates models

Baaquie, B.E.
Yang, C.

July 2009

10.1016/j.physa.2009.02.044Physica A: Statistical Mechanics and its Applications388132666-2681PHYA

Interest rates and coupon bonds in quantum finance

Baaquie, Belal E

January 2009

The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical...

Pricing of range accrual swap in the quantum finance Libor Market Model

Baaquie, B.E.
Du, X.
Tang, P.
Cao, Y.

May 2014

10.1016/j.physa.2014.01.042Physica A: Statistical Mechanics and its Applications401182-200PHYA

Interest rates in quantum finance: Caps, swaptions and bond options

Baaquie, B.E.

January 2010

10.1016/j.physa.2009.09.031Physica A: Statistical Mechanics and its Applications3892296-314PHYA

Simulation of coupon bond European and barrier options in quantum finance

Baaquie, B.E.
Pan, T.

January 2010

10.1016/j.physa.2010.08.046Physica A: Statistical Mechanics and its Applications3902263-289PHYA

Hedging LIBOR derivatives in a field theory model of interest rates

Baaquie, B.E.
Liang, C.
Warachka, M.C.

February 2007

10.1016/j.physa.2006.08.020Physica A: Statistical Mechanics and its Applications3742730-748PHYA

Quantum field theory for economics and finance

Baaquie, Belal Ehsan

June 2018

An introduction to how the mathematical tools from quantum field theory can be applied to economics ...

An Evolutionary Quantum Game Model of Financial Market Dynamics − Theory and Evidence Abstract

Carlos Pedro
Gonçalves Carlos Gonçalves

January 2007

The application of mathematical physics to economics has seen a recent development in the form of qu...

Quantum-like Models in Economics and Finances

Olga Choustova

March 2015

We apply methods of quantum mechanics for mathe-matical modeling of price dynamics at financial mar-...

A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates

Belal E. Baaquie

September 2016

main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appro...

AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR MARKET MODEL

Xiao, Tim

September 2020

The LIBOR Market Model has become one of the most popular models for pricing interest rate products....

Calibration And Simulation Of Arbitrage Effects In A Non-Equilibrium Quantum Black-Scholes Model, White Noise Amplitude Called Arbitrage Bubble, Generates A Time Dependent Potential U (T) Which Changes The Usual Equilibrium Dynamics Of The Traditional Bla

Kumar, K.N.P.

February 2013

Following concatenated model is analysed: Calibration And Simulation Of Arbitrage Effects In A Non-E...

Finite-Dimensional Quantum Model For The Stock Market, Discrete Nature Of The Quantities Used In Finance, Spectral Representation Of Bessel Processes With Constant Drift, Credit Spreads, And Stochastic Volatility In Finance, Quantum Structure In Cognition

Kumar, K.N.P.

February 2013

Following structural and syllogistical confederational concatenation is studied with concomitant and...

Statistical mechanics of nonlinear nonequilibrium financial markets

Ingber, Lester

December 1984

AbstractAn approach to understanding the nature of markets is modelled using methods of modern nonli...

A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates

Ballestra, Luca Vincenzo
Pacelli, Graziella
Zirilli, Francesco

January 2008

We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...

Empirical analysis of quantum finance interest rates models

Baaquie, B.E.
Yang, C.

July 2009

10.1016/j.physa.2009.02.044Physica A: Statistical Mechanics and its Applications388132666-2681PHYA

Interest rates and coupon bonds in quantum finance

Baaquie, Belal E

January 2009

The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical...

Pricing of range accrual swap in the quantum finance Libor Market Model

Baaquie, B.E.
Du, X.
Tang, P.
Cao, Y.

May 2014

10.1016/j.physa.2014.01.042Physica A: Statistical Mechanics and its Applications401182-200PHYA

Interest rates in quantum finance: Caps, swaptions and bond options

Baaquie, B.E.

January 2010

10.1016/j.physa.2009.09.031Physica A: Statistical Mechanics and its Applications3892296-314PHYA

Simulation of coupon bond European and barrier options in quantum finance

Baaquie, B.E.
Pan, T.

January 2010

10.1016/j.physa.2010.08.046Physica A: Statistical Mechanics and its Applications3902263-289PHYA

Hedging LIBOR derivatives in a field theory model of interest rates

Baaquie, B.E.
Liang, C.
Warachka, M.C.

February 2007

10.1016/j.physa.2006.08.020Physica A: Statistical Mechanics and its Applications3742730-748PHYA

Quantum field theory for economics and finance

Baaquie, Belal Ehsan

June 2018

An introduction to how the mathematical tools from quantum field theory can be applied to economics ...

An Evolutionary Quantum Game Model of Financial Market Dynamics − Theory and Evidence Abstract

Carlos Pedro
Gonçalves Carlos Gonçalves

January 2007

The application of mathematical physics to economics has seen a recent development in the form of qu...

Quantum-like Models in Economics and Finances

Olga Choustova

March 2015

We apply methods of quantum mechanics for mathe-matical modeling of price dynamics at financial mar-...

A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates

Belal E. Baaquie

September 2016

main result of this paper is that a martingale evolution can be chosen for LIBOR such that, by appro...

AN EFFICIENT LATTICE ALGORITHM FOR THE LIBOR MARKET MODEL

Xiao, Tim

September 2020

The LIBOR Market Model has become one of the most popular models for pricing interest rate products....

Calibration And Simulation Of Arbitrage Effects In A Non-Equilibrium Quantum Black-Scholes Model, White Noise Amplitude Called Arbitrage Bubble, Generates A Time Dependent Potential U (T) Which Changes The Usual Equilibrium Dynamics Of The Traditional Bla

Kumar, K.N.P.

February 2013

Following concatenated model is analysed: Calibration And Simulation Of Arbitrage Effects In A Non-E...

Finite-Dimensional Quantum Model For The Stock Market, Discrete Nature Of The Quantities Used In Finance, Spectral Representation Of Bessel Processes With Constant Drift, Credit Spreads, And Stochastic Volatility In Finance, Quantum Structure In Cognition

Kumar, K.N.P.

February 2013

Following structural and syllogistical confederational concatenation is studied with concomitant and...

Statistical mechanics of nonlinear nonequilibrium financial markets

Ingber, Lester

December 1984

AbstractAn approach to understanding the nature of markets is modelled using methods of modern nonli...

A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates

Ballestra, Luca Vincenzo
Pacelli, Graziella
Zirilli, Francesco

January 2008

We consider the problem of pricing European interest rate derivatives based on the LIBOR Market Mode...