Comparison of Field Theory Models of Interest Rates with Market Data

Belal E. Baaquie and Marakani Srikant

Papers from arXiv.org

Abstract: We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.

Date: 2002-08
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Published in Phys. Rev. E 69, 036129 (2004)

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