36 citations · 92 across the 6 of their papers we have counts for
6 papers
Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations
Belal E. Baaquie, Claudio Coriano, Marakani Srikant
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using qua…
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…
Comparison of Field Theory Models of Interest Rates with Market Data
Belal E. Baaquie, Marakani Srikant
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 pr…
Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance
Belal E. Baaquie, Claudio Coriano, Marakani Srikant
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview…
A Quantum Field Theory Term Structure Model Applied to Hedging
Belal E. Baaquie, Marakani Srikant, Mitch Warachka
A quantum field theory generalization, Baaquie, of the Heath, Jarrow, and Morton (HJM) term structure model parsimoniously describes the evolution of imperfectly correlated forward…
Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns
Belal E. Baaquie, L. C. Kwek, M. Srikant
We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We nume…