A Quantum Field Theory Term Structure Model Applied to Hedging

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dc.creatorBaaquie, Belal E.
dc.creatorSrikant, Marakani
dc.creatorWarachka, Mitch
dc.date2002-06-24
dc.date.accessioned2026-07-07T12:06:41Z
dc.date.available2026-07-07T12:06:41Z
dc.descriptionA quantum field theory generalization, Baaquie, of the Heath, Jarrow, and Morton (HJM) term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence using market data reveals the effectiveness of a low dimensional hedge portfolio.
dc.description7 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0206457
dc.identifierhttp://arxiv.org/abs/cond-mat/0206457
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208727
dc.subjectSoft Condensed Matter
dc.subjectPricing of Securities
dc.titleA Quantum Field Theory Term Structure Model Applied to Hedging
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