Skip to content
Register Sign in Wishlist

Interest Rates and Coupon Bonds in Quantum Finance


  • Date Published: September 2009
  • availability: In stock
  • format: Hardback
  • isbn: 9780521889285

£ 79.99

Add to cart Add to wishlist

Other available formats:

Looking for an inspection copy?

This title is not currently available on inspection

Product filter button
About the Authors
  • The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing on interest rates and coupon bonds, this book does not employ stochastic calculus – the bedrock of the present day mathematical finance – for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author's previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry.

    • Presents a fresh perspective on finance by using quantum finance - not stochastic calculus
    • Gives a new class of models to study the instruments of the debt markets by generalising models such as the BGM to imperfectly correlated interest rates
    • Provides a practical grounding in the various mathematical models by calibrating and testing theoretical models using data from the market
    Read more

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity


    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?


    Product details

    • Date Published: September 2009
    • format: Hardback
    • isbn: 9780521889285
    • length: 508 pages
    • dimensions: 253 x 177 x 25 mm
    • weight: 1.14kg
    • contains: 25 b/w illus.
    • availability: In stock
  • Table of Contents

    1. Synopsis
    2. Interest rates and coupon bonds
    3. Options and option theory
    4. Interest rate and coupon bond options
    5. Quantum field theory of bond forward interest rates
    6. Libor Market Model of interest rates
    7. Empirical analysis of forward interest rates
    8. Libor Market Model of interest rate options
    9. Numeraires for bond forward interest rates
    10. Empirical analysis of interest rate caps
    11. Coupon bond European and Asian options
    12. Empirical analysis of interest rate swaptions
    13. Correlation of coupon bond options
    14. Hedging interest rate options
    15. Interest rate Hamiltonian and option theory
    16. American options for coupon bonds and interest rates
    17. Hamiltonian derivation of coupon bond options
    List of symbols

  • Author

    Belal E. Baaquie, National University of Singapore
    Belal E. Baaquie is Professor of Physics in the Department of Physics at the National University of Singapore. He obtained his BS from Caltech and PhD from Cornell University. His specialization is in quantum field theory, and he has spent the last ten years applying quantum mathematics, and quantum field theory in particular, to quantitative finance. Professor Baaquie is an affiliated researcher with the Risk Management Institute, Singapore, and is a founding Editor of the International Journal of Theoretical and Applied Finance. His pioneering book Quantum Finance has created a new branch of research in theoretical and applied finance.

Sign In

Please sign in to access your account


Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner Please see the permission section of the catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.


Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

Please fill in the required fields in your feedback submission.