Description |
xv, 316 pages : illustrations ; 26 cm |
Contents |
1. Synopsis -- 2. Introduction to finance -- 3. Derivative securities -- 4. Hamiltonians and stock options -- 5. Path integrals and stock options -- 6. Stochastic interest rates' Hamiltonians and path integrals -- 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 -- A. Mathematical background -- Brief glossary of financial terms -- Brief glossary of physics terms |
Summary |
"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."--BOOK JACKET |
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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 |
Analysis |
Finance |
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Physics |
Notes |
Originally published: 2004 |
Bibliography |
Includes bibliographical references (pages 310-314) and index |
Subject |
Stock options -- Mathematical models.
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Interest rates -- Mathematical models.
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Author |
MyiLibrary.
|
LC no. |
2004045816 |
ISBN |
0521840457 |
|
9780521714785 |
|
0521714788 |
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