Publication:
Risky forward interest rates and swaptions: quantum finance model and empirical results
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Baaquie, Belal E. | |
| dc.contributor.author | Miao, Yu | |
| dc.contributor.author | Bhanap, Jitendra | |
| dc.date.accessioned | 2018-02-04T14:43:31Z | |
| dc.date.available | 2018-02-04T14:43:31Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | Risk free forward interest rates (Diebold and Li, 2006 [1]; Jamshidian, 1991 [2]) and their realization by US Treasury bonds as the leading exemplar have been studied extensively. In Baaquie (2010), models of risk free bonds and their forward interest rates based on the quantum field theoretic formulation of the risk free forward interest rates have been discussed, including the empirical evidence supporting these models. The quantum finance formulation of risk free forward interest rates is extended to the case of risky forward interest rates. The examples of the Singapore and Malaysian forward interest rates are used as specific cases. The main feature of the quantum finance model is that the risky forward interest rates are modeled both a) as a stand-alone case as well as b) being driven by the US forward interest rates plus a spread having its own term structure above the US forward interest rates. | en_US |
| dc.identifier.citation | Baaquie, Belal E. and Miao, Yu and Bhanap, Jitendra. (2018). Risky forward interest rates and swaptions: quantum finance model and empirical results. Physica A, 492, pp. 222-249. | en_US |
| dc.identifier.doi | https://doi.org/10.1016/j.physa.2017.09.045 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/2798 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | 2018. Elsevier | |
| dc.source | SEDONA | |
| dc.subject | Forward interest rates | en_US |
| dc.subject | Swaption | en_US |
| dc.subject | Quantum finance | en_US |
| dc.title | Risky forward interest rates and swaptions: quantum finance model and empirical results | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Conventional finance | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | en_US |
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