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Quantum Finance: Path Integrals and Hamiltonians for Options and Interest Rates

Autor Belal E. Baaquie
en Limba Engleză Paperback – 22 iul 2007
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. As such many results emerge from the ideas developed by the author. 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.
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Specificații

ISBN-13: 9780521714785
ISBN-10: 0521714788
Pagini: 336
Ilustrații: 5 tables
Dimensiuni: 168 x 243 x 18 mm
Greutate: 0.54 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom

Cuprins

Foreword; Preface; Acknowledgements; 1. Synopsis; Part I. Fundamental Concepts of Finance: 2. Introduction to finance; 3. Derivative securities; Part II. Systems with Finite Number of Degrees of Freedom: 4. Hamiltonians and stock options; 5. Path integrals and stock options; 6. Stochastic interest rates' Hamiltonians and path integrals; Part III. Quantum Field Theory of Interest Rates Models: 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; Appendix A: mathematical background; Brief glossary of financial terms; Brief glossary of physics terms; List of main symbols; References; Index.

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Descriere

This book applies techniques from quantum mechanics and quantum field theory to financial physics.