Please use this identifier to cite or link to this item:
Title: A quantum field theory term structure model applied to hedging
Authors: Baaquie, B.E. 
Srikant, M. 
Warachka, M.C.
Keywords: Bond Portfolio
Field Theory Model
Variance Minimization
Issue Date: Aug-2003
Citation: Baaquie, B.E.,Srikant, M.,Warachka, M.C. (2003-08). A quantum field theory term structure model applied to hedging. International Journal of Theoretical and Applied Finance 6 (5) : 443-467. ScholarBank@NUS Repository.
Abstract: A quantum field theory generalization, Baaquie, of the Heath, Jarrow and Morton (HJM) 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 from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low dimensional hedge portfolio.
Source Title: International Journal of Theoretical and Applied Finance
ISSN: 02190249
DOI: 10.1142/S0219024903001980
Appears in Collections:Staff Publications

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


checked on Apr 22, 2019

Page view(s)

checked on Apr 21, 2019

Google ScholarTM



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