A Quantum Field Theory Term Structure Model Applied to Hedging

DOI10.1142/S0219024903001980zbMath1079.91019arXivcond-mat/0206457MaRDI QIDQ5696861

Marakani Srikant, Mitch Warachka, Belal Ehsan Baaquie

Publication date: 19 October 2005

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0206457

zbMATH Keywords

hedgingvariance minimizationbond portfoliofield theory model

Mathematics Subject Classification ID

Related Items (1)

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Cites Work

• Interest Rate Dynamics and Consistent Forward Rate Curves
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Bond Market Structure in the Presence of Marked Point Processes
• AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
• Phenomenology of the interest rate curve

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