A Field Theory Model for Pricing and Hedging Libor Derivatives

• Main Authors: WARACHKA, Mitchell Craig, Baaquie, B.E., Liang, C.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Hedging; Quantum finance; Libor-based derivatives; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1549; https://doi.org/10.1016/j.physa.2006.07.024

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...