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physics.soc-ph2005
Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates
Belal E. Baaquie, Cui Liang, Mitch C. Warachka
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gam…
physics.soc-ph2005
A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates
Belal E. Baaquie
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that…