Book contents
- Frontmatter
- Contents
- Prologue
- Acknowledgements
- 1 Synopsis
- 2 Interest rates and coupon bonds
- 3 Options and option theory
- 4 Interest rate and coupon bond options
- 5 Quantum field theory of bond forward interest rates
- 6 Libor Market Model of interest rates
- 7 Empirical analysis of forward interest rates
- 8 Libor Market Model of interest rate options
- 9 Numeraires for bond forward interest rates
- 10 Empirical analysis of interest rate caps
- 11 Coupon bond European and Asian options
- 12 Empirical analysis of interest rate swaptions
- 13 Correlation of coupon bond options
- 14 Hedging interest rate options
- 15 Interest rate Hamiltonian and option theory
- 16 American options for coupon bonds and interest rates
- 17 Hamiltonian derivation of coupon bond options
- Epilogue
- A Mathematical background
- B US debt markets
- Glossary of physics terms
- Glossary of finance terms
- List of symbols
- References
- Index
Acknowledgements
Published online by Cambridge University Press: 11 April 2011
- Frontmatter
- Contents
- Prologue
- Acknowledgements
- 1 Synopsis
- 2 Interest rates and coupon bonds
- 3 Options and option theory
- 4 Interest rate and coupon bond options
- 5 Quantum field theory of bond forward interest rates
- 6 Libor Market Model of interest rates
- 7 Empirical analysis of forward interest rates
- 8 Libor Market Model of interest rate options
- 9 Numeraires for bond forward interest rates
- 10 Empirical analysis of interest rate caps
- 11 Coupon bond European and Asian options
- 12 Empirical analysis of interest rate swaptions
- 13 Correlation of coupon bond options
- 14 Hedging interest rate options
- 15 Interest rate Hamiltonian and option theory
- 16 American options for coupon bonds and interest rates
- 17 Hamiltonian derivation of coupon bond options
- Epilogue
- A Mathematical background
- B US debt markets
- Glossary of physics terms
- Glossary of finance terms
- List of symbols
- References
- Index
Summary
- Type
- Chapter
- Information
- Publisher: Cambridge University PressPrint publication year: 2009