A COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATES

DOI10.1142/S0219024905003347zbMath1116.91043arXivphysics/0503126MaRDI QIDQ5493848

Belal Ehsan Baaquie

Publication date: 16 October 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0503126

zbMATH Keywords

capsnumeraire

Mathematics Subject Classification ID

Quantum field theory; related classical field theories (81T99)

Cites Work

• Unnamed Item
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE

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