A Field Theory Model for Pricing and Hedging Libor Derivatives

A Field Theory Model for Pricing and Hedging Libor Derivatives

The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet can be derived using a quantum field theory model of the forward interest rates. An empirical study is carried out to compare the two caplet pricing formulae. Historical volat...

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Bibliographic Details
Main Authors: WARACHKA, Mitchell Craig, Baaquie, B.E., Liang, C.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Hedging
Quantum finance
Libor-based derivatives
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1549
https://doi.org/10.1016/j.physa.2006.07.024
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/1549
https://doi.org/10.1016/j.physa.2006.07.024

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