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| Title: | Quantum field theory of treasury bonds | Authors: | Baaquie, B.E. | Issue Date: | Jul-2001 | Citation: | Baaquie, B.E. (2001-07). Quantum field theory of treasury bonds. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 64 (1 II) : 016121/1-016121/16. ScholarBank@NUS Repository. | Abstract: | The theory of treasury bonds was reformulated in terms of the Heath-Jarrow-Morton (HJM) path integration model. Equations for the no-arbitrage condition as well as the evaluation of futures and options were calculated in a straightforward manner using path integration. As a result, the path integral formulation of the quantities of interest in finance was understood. Subsequently, these quantities were generalized to the case of quantum field theory. | Source Title: | Physical Review E - Statistical, Nonlinear, and Soft Matter Physics | URI: | http://scholarbank.nus.edu.sg/handle/10635/97678 | ISSN: | 15393755 |
| Appears in Collections: | Staff Publications |
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