2 papers
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…
cond-mat.soft2002
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…