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Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/97678
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dc.titleQuantum field theory of treasury bonds
dc.contributor.authorBaaquie, B.E.
dc.date.accessioned2014-10-16T09:38:02Z
dc.date.available2014-10-16T09:38:02Z
dc.date.issued2001-07
dc.identifier.citationBaaquie, B.E. (2001-07). Quantum field theory of treasury bonds. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 64 (1 II) : 016121/1-016121/16. ScholarBank@NUS Repository.
dc.identifier.issn15393755
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/97678
dc.description.abstractThe theory of treasury bonds was reformulated in terms of the Heath-Jarrow-Morton (HJM) path integration model. Equations for the no-arbitrage condition as well as the evaluation of futures and options were calculated in a straightforward manner using path integration. As a result, the path integral formulation of the quantities of interest in finance was understood. Subsequently, these quantities were generalized to the case of quantum field theory.
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentPHYSICS
dc.description.sourcetitlePhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
dc.description.volume64
dc.description.issue1 II
dc.description.page016121/1-016121/16
dc.description.codenPLEEE
dc.identifier.isiutNOT_IN_WOS
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