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Linearized Hamiltonian of the LIBOR market model: analytical and empirical results

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dc.contributor.authorPan Tang
dc.contributor.authorBelal Ehsan Baaquie
dc.contributor.authorXin Du
dc.contributor.authorYing Zhang
dc.date.accessioned2017-03-03T03:28:08Z
dc.date.available2017-03-03T03:28:08Z
dc.date.issued2015
dc.description.abstractThe linearized Hamiltonian model is proposed to extend the London Interbank Offered Rate (LIBOR) Market Model (LMM). Firstly, we studied the Hamiltonian of LMM in the framework of quantum finance, and the nontrivial upper triangle form of LIBOR drift is derived. The linearized Hamiltonian is derived to improve the explanatory capability of the model for market data. Our approach uses one more parameter to explain the initial condition and the model can be used to calibrate LIBORs with extremely high accuracy. Furthermore, the market time index is required for applying the model to multi-LIBOR, and the results imply that the LIBOR future time lattice becomes shorter as one goes from near future to distant future.en_US
dc.identifier.citationPan, T., Baaquie, B. E., Xin, D., & Ying, Z. (2015). Linearized Hamiltonian of the LIBOR market model: analytical and empirical results. Applied Economics, 48(10), 878-891.en_US
dc.identifier.doihttps://doi.org/10.1080/00036846.2015.1090546
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2269
dc.languageEnglish
dc.language.isoengen_US
dc.publisherTaylor & Francisen_US
dc.rights2015. Taylor & Francis
dc.sourceSEDONA
dc.subjectLIBOR market modelen_US
dc.subjectInterest rate modelsen_US
dc.subjectQuantitative financeen_US
dc.subjectQuantum financeen_US
dc.titleLinearized Hamiltonian of the LIBOR market model: analytical and empirical resultsen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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