Quantum field theory of treasury bonds.
نویسنده
چکیده
The Heath-Jarrow-Morton (HJM) formulation of treasury bonds in terms of forward rates is recast as a problem in path integration. The HJM model is generalized to the case where all the forward rates are allowed to fluctuate independently. The resulting theory is shown to be a two-dimensional Gaussian quantum field theory. The no arbitrage condition is obtained and a functional integral derivation is given for the price of a futures and an options contract.
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عنوان ژورنال:
- Physical review. E, Statistical, nonlinear, and soft matter physics
دوره 64 1 Pt 2 شماره
صفحات -
تاریخ انتشار 2001