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Quantum Finance
Path Integrals and Hamiltonians for Options and Interest Rates

$78.00 USD

  • Date Published: January 2007
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9780511262265

$ 78.00 USD
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  • This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the theory of options. Particular emphasis is placed on path integrals and Hamiltonians. Financial mathematics is dominated by stochastic calculus. The present book offers a formulation that is completely independent of that approach. As such many results emerge from the ideas developed by the author. This work will be of interest to physicists and mathematicians working in the field of finance, to quantitative analysts in banks and finance firms and to practitioners in the field of fixed income securities and foreign exchange. The book can also be used as a graduate text for courses in financial physics and financial mathematics.

    • Applies the formalism of quantum mechanics and quantum field theory to finance
    • Contains a detailed discussion on the empirical aspects of the forward rate curve and comparison of the field theory model with market data
    • Addresses many problems in finance that cannot be solved using other approaches
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    Product details

    • Date Published: January 2007
    • format: Adobe eBook Reader
    • isbn: 9780511262265
    • contains: 5 tables
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • Table of Contents

    Foreword
    Preface
    Acknowledgements
    1. Synopsis
    Part I. Fundamental Concepts of Finance:
    2. Introduction to finance
    3. Derivative securities
    Part II. Systems with Finite Number of Degrees of Freedom:
    4. Hamiltonians and stock options
    5. Path integrals and stock options
    6. Stochastic interest rates' Hamiltonians and path integrals
    Part III. Quantum Field Theory of Interest Rates Models:
    7. Quantum field theory of forward interest rates
    8. Empirical forward interest rates and field theory models
    9. Field theory of Treasury Bonds' derivatives and hedging
    10. Field theory Hamiltonian of forward interest rates
    11. Conclusions
    Appendix A: mathematical background
    Brief glossary of financial terms
    Brief glossary of physics terms
    List of main symbols
    References
    Index.

  • Author

    Belal E. Baaquie, National University of Singapore
    BELAL BAAQUIE earned his PhD in Theoretical Physics from Cornell University. He has published over fifty papers in leading international journals on quantum field theory and related topics, and since 1997 has regularly published papers on applying quantum field theory to both the theoretical and empirical aspects of finance. He helped to launch the International Journal of Theoretical and Applied Finance in 1998 and continues to be one of the Managing Editors.

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