Comparison of Field Theory Models of Interest Rates with Market Data

Abstract

We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.

9 figures

References in corpus (2)

• Quantum Field Theory of Forward Rates with Stochastic Volatility
• Empirical investigation of a quantum field theory of forward rates

Cited by in corpus (5)

• "Stiff" Field Theory of Interest Rates and Psychological Future Time
• Hedging in Field Theory Models of the Term Structure
• Quantum credit loans
• A Hamiltonian Approach to Floating Barrier Option Pricing
• Information content of financial markets: a practical approach based on Bohmian quantum mechanics