Welcome to IOU Digital Library

This groundbreaking work introduces quantum finance as an alternative to conventional stochastic calculus in modeling interest rates and coupon bond dynamics. It generalizes the Heath–Jarrow–Morton (HJM) framework and the Libor Market Model (BGM) by treating forward and Libor interest rates as an imperfectly correlated quantum field. The author develops theoretical models and empirically calibrates them using real market data. The book offers a fresh perspective through quantum mathematics—such as Lagrangian and Hamiltonian formulations, path-integral techniques, and perturbation theory—applied to interest rate derivatives like caps, swaptions, and coupon bond options. It is intended for physicists, mathematicians, and finance professionals seeking advanced quantitative insights.

no reviews

245: $a: INTEREST RATES AND COUPON BONDS IN QUANTUM FINANCE
245: $b:
082: $a:
100: $a: BELAL E. BAAQUIE
650: $a: Finance
250: $a:
440: $v:
250: $b: Cambridge University Press
250: $c: 2009
020: $a: 978-0521889285
300: $a: 510