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Simulation of coupon bond European and barrier options in quantum finance
9 references·1 citing·36 second hop
Simulation of coupon bond European and barrier options in quantum finance (2010)Simulation of coupon bond European and ba…Interest Rates and Coupon Bonds in Quantum Finance (2009)Interest Rates and Coupon Bon…Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields (2003)Finite Dimensional Affine Rea…Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model (2001)Forward rate dependent Markov…The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables (1999)The Dynamics of the Forward I…A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models (1998)A Markovian Framework in Mult…Explorations Into Factors Explaining Money Market Returns (1994)Explorations Into Factors Exp…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Quantum Field Theory for Economics and Finance (2018)Quantum Field Theory for Econ…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)An alternative approach on the existence of affine realizations for HJM term structure models (2010)An explicitly solvable Heston model with stochastic interest rate (2015)Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Idiosyncratic Variation of Treasury Bill Yields (1996)Modern Investment Management: An Equilibrium Approach (2003)Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)The Term Structure of Real Rates and Expected Inflation (2007)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)Pricing Interest-Rate-Derivative Securities (1990)On the construction of finite dimensional realizations for nonlinear forward rate models (2002)Existence of Lévy term structure models (2007)A Geometric View of Interest Rate Theory (2010)The Pricing of Options and Corporate Liabilities (1973)The Term Structure of Interest Rates as a Random Field (2000)Brownian Motion and Stochastic Calculus (2007)A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2008)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)“Options, Futures, and Other Derivatives” (2016)Theory of Storage and the Pricing of Commodity Claims (2004)A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2007)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Empirical analysis of quantum finance interest rates models (2009)Interest rates in quantum finance: The Wilson expansion and Hamiltonian (2009)QuantumLeap: Hybrid quantum neural network for financial predictions (2022)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1994Explorations Into Factors Explaining Money Market Returns277 cited
  • 1998A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models164 cited
  • 2001Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model137 cited
  • 2009Interest Rates and Coupon Bonds in Quantum Finance98 cited
  • 1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables97 cited
  • 2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields48 cited

Cited by

  • 2018Quantum Field Theory for Economics and Finance32 cited

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