#TITLE_ALTERNATIVE#
ABSTRACT: <br /> <br /> <br /> <br /> <br /> In recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatili...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/5771 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| id |
id-itb.:5771 |
|---|---|
| spelling |
id-itb.:57712017-09-27T14:40:52Z#TITLE_ALTERNATIVE# Hidayat (NIM 20204027), Arief Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/5771 ABSTRACT: <br /> <br /> <br /> <br /> <br /> In recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are analyzed, firstly when volatility is taken to be a function of forward rates, and secondly when volatility ia taken to be an independent quantum field. Since volatility is a positive quantum field, the full theory turns out to be an interacting non-liniear quantum field in two dimensions. The state space and Hamiltonian for the interacting theory are obtained, and shown to have a nontrivial structure due to the manifold moving with constant velocity. The no arbitrage condition is reformulated in terms of the Hamiltoninan of the system, and then solved for the nonlinear interacting case. text |
| institution |
Institut Teknologi Bandung |
| building |
Institut Teknologi Bandung Library |
| continent |
Asia |
| country |
Indonesia Indonesia |
| content_provider |
Institut Teknologi Bandung |
| collection |
Digital ITB |
| language |
Indonesia |
| description |
ABSTRACT: <br />
<br />
<br />
<br />
<br />
In recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are analyzed, firstly when volatility is taken to be a function of forward rates, and secondly when volatility ia taken to be an independent quantum field. Since volatility is a positive quantum field, the full theory turns out to be an interacting non-liniear quantum field in two dimensions. The state space and Hamiltonian for the interacting theory are obtained, and shown to have a nontrivial structure due to the manifold moving with constant velocity. The no arbitrage condition is reformulated in terms of the Hamiltoninan of the system, and then solved for the nonlinear interacting case. |
| format |
Theses |
| author |
Hidayat (NIM 20204027), Arief |
| spellingShingle |
Hidayat (NIM 20204027), Arief #TITLE_ALTERNATIVE# |
| author_facet |
Hidayat (NIM 20204027), Arief |
| author_sort |
Hidayat (NIM 20204027), Arief |
| title |
#TITLE_ALTERNATIVE# |
| title_short |
#TITLE_ALTERNATIVE# |
| title_full |
#TITLE_ALTERNATIVE# |
| title_fullStr |
#TITLE_ALTERNATIVE# |
| title_full_unstemmed |
#TITLE_ALTERNATIVE# |
| title_sort |
#title_alternative# |
| url |
https://digilib.itb.ac.id/gdl/view/5771 |
| _version_ |
1820663754599170048 |