Financial mathematics is currently almost completely dominated by stochastic calculus. Presenting a completely independent approach, this book applies the mathematical and conceptual formalism of quantum mechanics and quantum field theory (with particular emphasis on the path integral) to the theory of options and to the modeling of interest rates. Many new results, accordingly, emerge from the author's perspective.
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Book Description
The primary aim of this book is to apply the mathematical and conceptual formalism of quantum mechanics and quantum field theory, with particular emphasis on the path integral, to the theory of options and to the modeling of interest rates. Financial mathematics is currently almost completely dominated by stochastic calculus. What is unique about the present book is that it offers a formulation completely independent of that approach. Many new results emerge from the ideas developed by the author.
About the Author
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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First Sentence:
Two underlying themes run through this book: first, defining and analyzing the subject of quantitative finance in the conceptual and mathematical framework of quantum theory, with special emphasis on its path-integral formulation, and, second, the introduction of the techniques and methodology of quantum field theory in the study of interest rates. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
linear forward rates, hedging weights, stochastic hedging, rates with stochastic volatility, instantaneous hedging, pricing kernel, martingale condition, instantaneous loan, spot rate models, completeness equation, commutation equation, maturity direction, forward interest rates, volatility field, spot interest rate, perfectly hedged portfolio, field theory model, hedging bonds, hedge parameters, time hedging, continuum notation, hedging parameters, conditional expectation value, martingale measure, curvature orthogonal Key Phrases - Capitalized Phrases (CAPs): (learn more)
Black-Scholes Hamiltonian, Monte Carlo, Fokker-Planck Hamiltonian, Hermitian Hamiltonian, Black-Scholes Lagrangian, Merton-Garman Hamiltonian New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Two underlying themes run through this book: first, defining and analyzing the subject of quantitative finance in the conceptual and mathematical framework of quantum theory, with special emphasis on its path-integral formulation, and, second, the introduction of the techniques and methodology of quantum field theory in the study of interest rates. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
linear forward rates, hedging weights, stochastic hedging, rates with stochastic volatility, instantaneous hedging, pricing kernel, martingale condition, instantaneous loan, spot rate models, completeness equation, commutation equation, maturity direction, forward interest rates, volatility field, spot interest rate, perfectly hedged portfolio, field theory model, hedging bonds, hedge parameters, time hedging, continuum notation, hedging parameters, conditional expectation value, martingale measure, curvature orthogonal Key Phrases - Capitalized Phrases (CAPs): (learn more)
Black-Scholes Hamiltonian, Monte Carlo, Fokker-Planck Hamiltonian, Hermitian Hamiltonian, Black-Scholes Lagrangian, Merton-Garman Hamiltonian New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 19
books:
See all 19 books this book cites
- Stochastic Processes by Sheldon M. Ross in Back Matter (1), and Back Matter (2)
- Option Pricing (The Irwin series in finance) by Robert A. Jarrow in Back Matter (1), and Back Matter (2)
- Principles of Money, Banking, and Financial Markets plus MyEconLab Student Access Kit (11th Edition) by Lawrence S. Ritter in Back Matter
- Path Integral Approach to Quantum Physics: An Introduction (Theoretical and Mathematical Physics) by Gert Roepstorff in Back Matter
- Options, Futures and Other Derivatives (6th Edition) by John C. Hull in Back Matter
See all 19 books this book cites
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