80 citations · 228 across the 23 of their papers we have counts for
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cond-mat.stat-mech2002★ 5 cited
Hedging in Field Theory Models of the Term Structure
Belal E. Baaquie, Marakani Srikant
We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model whic…
cond-mat.stat-mech2001★ 4 cited
Empirical investigation of a quantum field theory of forward rates
Belal E. Baaquie, Srikant Marakani
A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model…