Please use this identifier to cite or link to this item:
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 |
Show full item record
Files in This Item:
There are no files associated with this item.
SCOPUSTM
Citations
10
checked on Jan 13, 2022
WEB OF SCIENCETM
Citations
6
checked on Jan 13, 2022
Page view(s)
108
checked on Jan 13, 2022
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.