A Quantum Field Theory Term Structure Model Applied to Hedging

• Main Authors: WARACHKA, Mitchell Craig, Belal, Baaquie, Srikant, M.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Bond portfolio; hedging; field theory model; variance minimization; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2695
• Institution: Singapore Management University

A quantum field theory generalization, Baaquie [1], of the Heath, Jarrow and Morton (HJM) [10] term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise fr...