Empirical investigation of a quantum field theory of forward rates

Belal E. Baaquie and Srikant Marakani

Papers from arXiv.org

Abstract: A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model. This test is independent of the volatility function unlike other tests previously proposed in the literature. It is found that the HJM model is inconsistent with the data while the quantum field theoretic model is in significant agreement with data. We also show that a portion of the spread between long and short term interest rates is explicable in terms of this model.

Date: 2001-06, Revised 2001-10
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0106317 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0106317

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().