Pricing of range accrual swap in the quantum finance Libor market model

DOI10.1016/j.physa.2014.01.042zbMath1402.91749OpenAlexW2140789510MaRDI QIDQ1782677

G. Richomme

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.01.042

zbMATH Keywords

Monte Carlo simulationquantum financerange accrual swap

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Quantum field theory and the Jones polynomial
• Financial modeling and quantum mathematics
• Interest Rates and Coupon Bonds in Quantum Finance
• MultiFactor Valuation of Floating Range Notes
• Quantum Finance

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