Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2009.02.044
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dc.titleEmpirical analysis of quantum finance interest rates models
dc.contributor.authorBaaquie, B.E.
dc.contributor.authorYang, C.
dc.date.accessioned2014-10-16T09:23:32Z
dc.date.available2014-10-16T09:23:32Z
dc.date.issued2009-07-01
dc.identifier.citationBaaquie, B.E., Yang, C. (2009-07-01). Empirical analysis of quantum finance interest rates models. Physica A: Statistical Mechanics and its Applications 388 (13) : 2666-2681. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2009.02.044
dc.identifier.issn03784371
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/96447
dc.description.abstractEmpirical forward interest rates drive the debt markets. Libor and Euribor futures data is used to calibrate and test models of interest rates based on the formulation of quantum finance. In particular, all the model parameters, including interest rate volatilities, are obtained from market data. The random noise driving the forward interest rates is taken to be a Euclidean two dimension quantum field. We analyze two models, namely the bond forward interest rates, which is a linear theory and the Libor Market Model, which is a nonlinear theory. Both the models are analyzed using Libor and Euribor data, with various approximations to match the linear and nonlinear models. The results are quite good, with the linear model having an accuracy of about 99% and the nonlinear model being slightly less accurate. We extend our analysis by directly using the Zero Coupon Yield Curve (ZCYC) data for Libor and for bonds; but due to some technical difficulties we could not derive the models parameters directly from the ZCYC data. © 2009 Elsevier B.V. All rights reserved.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.physa.2009.02.044
dc.sourceScopus
dc.subjectBond and Libor interest rate models
dc.subjectEmpirical forward interest rates
dc.subjectQuantum finance
dc.typeArticle
dc.contributor.departmentPHYSICS
dc.description.doi10.1016/j.physa.2009.02.044
dc.description.sourcetitlePhysica A: Statistical Mechanics and its Applications
dc.description.volume388
dc.description.issue13
dc.description.page2666-2681
dc.description.codenPHYAD
dc.identifier.isiut000266226900007
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