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dc.contributor.authorBaaquie, Belal E.-
dc.contributor.authorMiao, Yu-
dc.contributor.authorBhanap, Jitendra-
dc.date.accessioned2018-02-04T14:43:31Z-
dc.date.available2018-02-04T14:43:31Z-
dc.date.issued2018-
dc.identifier.citationBaaquie, 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.issn0378-4371-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2798-
dc.description.abstractRisk 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.languageEnglish-
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2018. Elsevier-
dc.sourceSEDONA-
dc.subjectForward interest ratesen_US
dc.subjectSwaptionen_US
dc.subjectQuantum financeen_US
dc.titleRisky forward interest rates and swaptions: quantum finance model and empirical resultsen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doihttps://doi.org/10.1016/j.physa.2017.09.045-
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorBaaquie, Belal E.-
    dc.contributor.authorMiao, Yu-
    dc.contributor.authorBhanap, Jitendra-
    dc.date.accessioned2018-02-04T14:43:31Z-
    dc.date.available2018-02-04T14:43:31Z-
    dc.date.issued2018-
    dc.identifier.citationBaaquie, 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.issn0378-4371-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2798-
    dc.description.abstractRisk 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.languageEnglish-
    dc.language.isoengen_US
    dc.publisherElsevieren_US
    dc.rights2018. Elsevier-
    dc.sourceSEDONA-
    dc.subjectForward interest ratesen_US
    dc.subjectSwaptionen_US
    dc.subjectQuantum financeen_US
    dc.titleRisky forward interest rates and swaptions: quantum finance model and empirical resultsen_US
    dc.typeJournal Articleen_US
    ikr.topic.maintopicConventional financeen_US
    dc.identifier.doihttps://doi.org/10.1016/j.physa.2017.09.045-
    ikr.doctypeScholarly Works-
    Appears in Collections:Journal Article


  • risky_forward_interest_rates_and_swaptions_Belal_Miao_Jit...
    • Size : 913,76 kB

    • Format : Adobe PDF

    • View : 
    • Download :