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https://doi.org/10.1103/PhysRevE.69.036129
| Title: | Comparison of field theory models of interest rates with market data | Authors: | Baaquie, B.E. Srikant, M. |
Issue Date: | Mar-2004 | Citation: | Baaquie, B.E., Srikant, M. (2004-03). Comparison of field theory models of interest rates with market data. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 69 (3 2) : 036129-1. ScholarBank@NUS Repository. https://doi.org/10.1103/PhysRevE.69.036129 | Abstract: | Various variants of Baaquie's field theory models of the interest rate with data from Eurodollar futures were calibrated and tested. The models based on psychological factors were seen to provide the best fit to market. A model independent determination of the volatility function of the forward rates from market data was also made. The treasury bond tick data from the GovPx database was also analyzed. | Source Title: | Physical Review E - Statistical, Nonlinear, and Soft Matter Physics | URI: | http://scholarbank.nus.edu.sg/handle/10635/96032 | ISSN: | 1063651X | DOI: | 10.1103/PhysRevE.69.036129 |
| Appears in Collections: | Staff Publications |
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