Interest Rates and Coupon Bonds in Quantum Finance

The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. 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 derivations. 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. Building on the principles formulated in the author's previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the finance industry.

• Presents a fresh perspective on finance by using quantum finance - not stochastic calculus
• Gives a new class of models to study the instruments of the debt markets by generalising models such as the BGM to imperfectly correlated interest rates
• Provides a practical grounding in the various mathematical models by calibrating and testing theoretical models using data from the market