6 edition of **Interest rates and coupon bonds in quantum finance** found in the catalog.

Interest rates and coupon bonds in quantum finance

B. E. Baaquie

- 44 Want to read
- 26 Currently reading

Published
**2009** by Cambridge University Press in Cambridge, UK, New York .

Written in English

- Interest rates,
- Zero coupon securities,
- Finance

**Edition Notes**

Statement | Belal E. Baaquie. |

Classifications | |
---|---|

LC Classifications | HG1621 .I586 2009 |

The Physical Object | |

Pagination | p. cm. |

ID Numbers | |

Open Library | OL23621758M |

ISBN 10 | 9780521889285 |

LC Control Number | 2009024540 |

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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 by: 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 Interest rates and coupon bonds in quantum finance book.

Instead, it analyzes interest rates and coupon bonds using quantum by: 2. Interest Rates Interest rates and coupon bonds in quantum finance book Coupon Bonds in Quantum Finance - by Belal E.

Baaquie September Focusing almost exclusively 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. Instead, it analyzes interest rates and coupon bonds using quantum Heath–Jarrow–Morton model and the Libor Market Model are gener- alized by realizing the forward and Libor interest rates as an imperfectly Interest rates and coupon bonds in quantum finance book quantum ﬁeld.

Book Search tips Selecting this option will search all publications across the Scitation platform Selecting this option will search all publications for the Publisher/Society in context. Interest Rates and Coupon Bonds in Quantum Finance.

American Journal of Phys (); Quantum Information. Barbara M. Terhal. more Cited by: 1. The Interest rates and coupon bonds in quantum finance book crisis of has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments.

Focusing almost exclusively 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. Title: Interest Rates and Coupon Bonds in Quantum Finance: Authors: Baaquie, Belal E.

Publication: Interest Rates and Coupon Bonds in Quantum Finance, by Belal E. Baaquie, Cambridge, UK: Cambridge University Press, 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. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus for any of the derivations.

Instead, interest rates and coupon bonds are studied using quantum finance, providing readers with a completely different perspective on finance/5(2). Path Integrals and Hamiltonians for Options and Interest Rates.

Author: Belal E. Baaquie; Publisher: Cambridge University Press ISBN: Category: Business & Economics Page: N.A View: DOWNLOAD NOW» 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.

Interest Rates and Coupon Bonds in Quantum Finance, by Belal E. Baaquie Article in Contemporary Physics 52(2) March with 19 Reads How we measure 'reads'. As an alternative, it analyzes rates of interest and coupon bonds utilizing quantum finance.

The Heath-Jarrow-Morton and the Libor Market Mannequin are generalized by realizing the ahead and Libor rates of interest as an imperfectly correlated quantum subject. these Þelds. He has written two books on quantum Þnance: Quantum Finance (Cambridge University Press, ) and Interest Rates and Coupon Bonds in Quantum Finance (Cambridge University Press, ), in addition to several other books focusing on topics from quantum mechanics and mathematics to books on leading ideas in science.

Numerical algorithms and simulations are applied to the Interest rates and coupon bonds in quantum finance book of asset pricing models as well as of nonlinear interest rates.

A range of economic and financial topics are shown to have quantum mechanical formulations, including options, coupon bonds, nonlinear interest rates, risky bonds and the microeconomic action by: 2.

Ebooks list page: ; Interest Rates and Coupon Bonds in Quantum Finance; [PDF] Interest Rates and Coupon Bonds in Quantum Finance; Cambridge. e; Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management [Repost]; Things. Interest Rates and Coupon Bonds in Quantum Finance Interest Rates and Coupon Bonds in Quantum Finance Baaquie, Belal E.; Schaden, Martin The downloaded PDF for any Review in this section contains all the Reviews in this section.

Hans C. von Baeyer, Editor Department of Physics, College of William and Mary, Williamsburg, Virginia ; [email protected] Quantum. 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. Interest Rates and Coupon Bonds in Quantum Finance: Baaquie, Belal E.: Books - ews: 2.

2 Interest rates and coupon bonds 3 Introduction 3 Expanding global money capital 4 New centers of global finance 8 Interest rates 9 Three definitions of interest rates 10 Coupon and zero coupon bonds 12 Continuous compounding: forward interest rates 14 Instantaneous forward interest rates 16 Libor and Euribor Interest Rates and Coupon Bonds in Quantum Finance by Belal E.

Baaquie English | Oct. 30, | ISBN: | Pages | PDF | 7 MB The economic crisis of has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Interest Rates and Coupon Bonds in Quantum Finance by Belal E.

Baaquie,available at Book Depository with free delivery worldwide. American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American by: 4.

TermsVector search | B–OK. Download books for free. Find books. 5, Interest Rates and Coupon Bonds in Quantum Finance. Cambridge University Press. Belal E. Baaquie. interest bond libor option coupon interest rates price forward interest coupon bond market forward interest rates. An interest rate swaption is an option for entering an interest rate swap and is a special case of a coupon bond option.

The daily 2 by 10 Libor swaption model and market prices are plotted in Fig. 9 ; the model’s predicted price has an overall accuracy of over 96%.Cited by: 7. Interest Rates and Coupon Bonds in Quantum Finance.

American Journal of Phys (); Quantum theory; Stochastic processes; Careers and professions; News and events; Quantum state; Dirac bracket; Natural disasters; Quantum mechanical systems and processes; Books; REFERENCES.

Belal E. Baaquie, Quantum Finance (Cambridge U. by: 1. Another example would be that a $1, face value bond has a coupon interest rate of 5%.

No matter what happens to the bond's price, the bondholder receives $50 that year from the issuer. However, if the bond price climbs from $1, to $1, the effective yield on that bond changes from 5% to The par value is simply the face value of the bond or the value of the bond as stated by the issuing entity.

Thus, a $1, bond with a coupon rate of 6% pays $60 in interest annually and a $2, bond with a coupon rate of 6% pays $. Not Available adshelp[at] The ADS is operated by the Smithsonian Astrophysical Observatory under NASA Cooperative Agreement NNX16AC86ACited by: 1. Downloadable (with restrictions).

American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options.

The algorithm is shown to hold over a wide range of strike prices. 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.

A bond pays interest either periodically or, in the case of zero coupon bonds, at maturity. Therefore, the value of the bond is equal to the sum of the present value of all future payments — hence, it is the present value of an annuity, which is a series of periodic present value is calculated using the prevailing market interest rate for the term and risk profile of the bond.

If the general level of interest rates increase from 5 percent, and investors now demand 6 percent, investors will not pay $1, for a 5 percent coupon bond trading in the secondary market.

Coupon Rate vs. Interest Rate. It is very easy to confuse the coupon rate with the interest rate. The key item to remember is that the interest rate can change over time (as the price of the bond fluctuates), but the coupon rate for most bonds is established at the time of issue and typically doesn’t change over the life of the bond.

A) the market value of the bond is greater than the discount rate of the bond. B) investor's current required rate of return is below the coupon rate of the bond. C) current market interest rates are moving in the same direction as bond values. D) the economy is in a recession.

If he were to purchase a $1, municipal bond that had a stated interest rate of %, the taxable equivalent yield would be: %.

A company has a beta of ; if the market goes down by 8%, the value of the company's stock will likely. Everything else being equal, the lower the coupon rate of a bond the more sensitive it will be (in terms of percentage changes in the bond price) to interest rate changes.

Therefore, a year 4% coupon bond will see a greater percentage price increase if interest rates decline than a similar year 10% coupon : Kevin Bracker, Fang Lin, Jennifer Pursley.

Description: The government and companies issue bonds to raise money to finance their operations. When you buy a bond, the bond issuer promises periodic (annually or semi-annually) interest payments on the money invested at the coupon rate stated in the bond certificate.

The bond issuer pays the interest annually until maturity, and after that. Exhibit 1 provides a simple example to understand the pricing process for bonds.

The bond being considered is a ten-year coupon bond with a face value of $1, and a coupon rate Author: Wade Pfau. Bond prices are sensitive to interest rate changes, and bond duration is a measure of just how sensitive.

For instance, in Exhibit (shown in my last article), an increase in interest rates Author: Wade Pfau. Let's fast-forward 10 years down pdf road and say that interest rates go up in That means new Treasury bonds are being issued with yields of 4%. If an investor could choose between a 4% bond and a 2% bond, they would take the 4% bond every time.

Multiply the amount of the coupon payment by the PVOA to get the present value of the interest. $ 25, ∗ = ${\displaystyle \$25,*=\$,}.

The selling price of the bond = the present value of the principal + the present value of the interest. $ 53%(15).The coupon interest rate on recent International Ebook Bond (ISB) issues in declined from percent in March to percent in June, while the same bond now trades at a yield below percent reflecting an improvement in the country's financial stability.".