Please use this identifier to cite or link to this item: https://doi.org/10.1103/PhysRevE.69.036129
DC FieldValue
dc.titleComparison of field theory models of interest rates with market data
dc.contributor.authorBaaquie, B.E.
dc.contributor.authorSrikant, M.
dc.date.accessioned2014-10-16T09:18:42Z
dc.date.available2014-10-16T09:18:42Z
dc.date.issued2004-03
dc.identifier.citationBaaquie, 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
dc.identifier.issn1063651X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/96032
dc.description.abstractVarious 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1103/PhysRevE.69.036129
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentPHYSICS
dc.description.doi10.1103/PhysRevE.69.036129
dc.description.sourcetitlePhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
dc.description.volume69
dc.description.issue3 2
dc.description.page036129-1
dc.description.codenPLEEE
dc.identifier.isiut000220729400040
Appears in Collections:Staff Publications

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

SCOPUSTM   
Citations

9
checked on Apr 13, 2021

WEB OF SCIENCETM
Citations

6
checked on Apr 13, 2021

Page view(s)

75
checked on Apr 11, 2021

Google ScholarTM

Check

Altmetric


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