Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2009.02.044
Title: Empirical analysis of quantum finance interest rates models
Authors: Baaquie, B.E. 
Yang, C.
Keywords: Bond and Libor interest rate models
Empirical forward interest rates
Quantum finance
Issue Date: 1-Jul-2009
Citation: Baaquie, B.E., Yang, C. (2009-07-01). Empirical analysis of quantum finance interest rates models. Physica A: Statistical Mechanics and its Applications 388 (13) : 2666-2681. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2009.02.044
Abstract: Empirical forward interest rates drive the debt markets. Libor and Euribor futures data is used to calibrate and test models of interest rates based on the formulation of quantum finance. In particular, all the model parameters, including interest rate volatilities, are obtained from market data. The random noise driving the forward interest rates is taken to be a Euclidean two dimension quantum field. We analyze two models, namely the bond forward interest rates, which is a linear theory and the Libor Market Model, which is a nonlinear theory. Both the models are analyzed using Libor and Euribor data, with various approximations to match the linear and nonlinear models. The results are quite good, with the linear model having an accuracy of about 99% and the nonlinear model being slightly less accurate. We extend our analysis by directly using the Zero Coupon Yield Curve (ZCYC) data for Libor and for bonds; but due to some technical difficulties we could not derive the models parameters directly from the ZCYC data. © 2009 Elsevier B.V. All rights reserved.
Source Title: Physica A: Statistical Mechanics and its Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/96447
ISSN: 03784371
DOI: 10.1016/j.physa.2009.02.044
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

10
checked on Sep 19, 2018

WEB OF SCIENCETM
Citations

9
checked on Sep 4, 2018

Page view(s)

39
checked on May 18, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.