Quantum Field Theory of Treasury Bonds

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dc.creatorBaaquie, Belal E.
dc.date1998-09-14
dc.date.accessioned2026-07-07T12:07:08Z
dc.date.available2026-07-07T12:07:08Z
dc.descriptionThe Heath-Jarrow-Morton (HJM) formulation of treasury bonds in terms of forward rates is recast as a problem in path integration. The HJM-model is generalized to the case where all the forward rates are allowed to fluctuate independently. The resulting theory is shown to be a two-dimensional Gaussian quantum field theory. The no arbitrage condition is obtained and a functional integral derivation is given for the price of a futures and an options contract.
dc.description29 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/9809199
dc.identifierhttp://arxiv.org/abs/cond-mat/9809199
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208867
dc.subjectSoft Condensed Matter
dc.subjectPricing of Securities
dc.titleQuantum Field Theory of Treasury Bonds
dc.typetext

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