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Quantum field theory / Quantum mechanics / Fixed income analysis / Heath–Jarrow–Morton framework / Mathematics / Autoregressive conditional heteroskedasticity / Functional integration / Mathematical finance / Physics / Mathematical analysis


PHYSICAL REVIEW E 69, 036130 共2004兲 Finite hedging in field theory models of interest rates Belal E. Baaquie* and Marakani Srikant† Department of Physics, National University of Singapore, 2 Science Drive, Singapo
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Document Date: 2009-11-30 21:40:16

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Company

Cambridge University Press / /

Country

Singapore / /

Currency

pence / USD / /

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Facility

Cornell University / National University of Singapore / /

IndustryTerm

e-print / closed form solutions / /

Organization

Cambridge University / National University of Singapore / Belal E. Baaquie* and Marakani Srikant† Department of Physics / Cornell University / /

Person

Robert Goldstein / David Heath / Wolfgang Runggaldier / M. Warachka / Bent Jesper Christensen / Andrew Matacz / Marakani Srikant / Pedro Santa-Clara / Didier Sornette / Jason Cohen / Mitch Warachka / Tomas Bjork / Belal E. Baaquie / Jean Philippe-Bouchaud / Yuri Kabanov / Andrew Morton / Jean-Philippe Bouchaud / Robert Jarrow / /

Position

field theory model for the forward rates / model / Professor / /

PublishedMedium

Econometrica / /

SocialTag