Skip to main content Accessibility help
×
Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-08T14:29:50.421Z Has data issue: false hasContentIssue false

References

Published online by Cambridge University Press:  22 August 2018

Belal Ehsan Baaquie
Affiliation:
The International Centre for Education in Islamic Finance, Malaysia
Get access
Type
Chapter
Information
Publisher: Cambridge University Press
Print publication year: 2018

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Abbot, L.F. 1982. Introduction to the background field method. Acta Phys. Polon. B13.Google Scholar
Adams, Ken. 2001. Smooth interpolation of zero curves. Algo Research Quarterly, 4(1/2), 1122.Google Scholar
Adler, Stephen L. 1969. Axial vector vertex in spinor electrodynamics. Phys. Rev., 177, 24262438.CrossRefGoogle Scholar
Anderson, L., and Andresean, J. 2000. Volatility skews and extensions of the Libor market model. Applied Mathematical Finance, 7(1), 132.CrossRefGoogle Scholar
Askari, H., Iqbal, Z., Krichene, N., and Mirakhor, A. 2012. Risk Sharing in Finance: The Islamic Finance Alternative. Singapore: John Wiley.CrossRefGoogle Scholar
Baaquie, B.E., and Pan, Tang. 2011. Simulation of coupon bond European and barrier options in quantum finance. Physica A, 390, 263289.CrossRefGoogle Scholar
Baaquie, Belal E. 1977. Gauge fixing and mass renormalization in the lattice gauge theory. Physical Review D, 16(8), 2612.CrossRefGoogle Scholar
Baaquie, Belal E. 1982. New solution for the Schwinger model. Journal of Physics G: Nuclear Physics, 8(12), 1621.CrossRefGoogle Scholar
Baaquie, Belal E. 1983. Energy eigenvalues and string tension in the Schwinger model. Phys. Rev. D, 27(Feb.), 962968.CrossRefGoogle Scholar
Baaquie, Belal E. 2004. Quantum Finance: Path Integrals and Hamiltonians for Options and Interest Rates. Cambridge University Press.CrossRefGoogle Scholar
Baaquie, Belal E. 2008. Quantum mechanics and option pricing. Proceedings of the Second Quantum Interaction Symposium (QI-2008) College Publications, 125–130.Google Scholar
Baaquie, Belal E. 2009. Interest rates in quantum finance: The Wilson expansion and Hamiltonian. Phys. Rev. E, 80(Oct.), 046119.CrossRefGoogle ScholarPubMed
Baaquie, Belal E. 2010. Interest Rates and Coupon Bonds in Quantum Finance. UK: Cambridge University Press.Google Scholar
Baaquie, Belal E. 2013a. Statistical microeconomics. Physica A, 19(1), 44004416.CrossRefGoogle Scholar
Baaquie, Belal E. 2013b. The Theoretical Foundations of Quantum Mechanics. USA: Springer.CrossRefGoogle Scholar
Baaquie, Belal E. 2014. Path Integrals and Hamiltonians: Principles and Methods. Cambridge University Press.CrossRefGoogle Scholar
Baaquie, Belal E., and Bouchaud, J.P. 2004. Stiff interest rate model and psychological future time. Wilmott Magazine, 26.Google Scholar
Baaquie, Belal E., and Martin, F. 2005. Quantum psyche: Quantum field theory of the human psyche. NeuroQuantology, 3(5), 742.Google Scholar
Baaquie, Belal E., and Pan, Tang. 2012. Simulation of nonlinear interest rates in quantum finance: Libor market model. Physica A, 391, 12871308.CrossRefGoogle Scholar
Baaquie, Belal E., and Willeboordse, Frederick H. 2015. Exploring the Invisible Universe: From Black Holes to Superstrings. World Scientific Publishing Company.CrossRefGoogle Scholar
Baaquie, Belal E., and Yang, Cao. 2009. Empirical analysis of quantum finance interest rate models. Physica A, 388(13), 26662681.CrossRefGoogle Scholar
Baaquie, Belal E., and Yang, Cao. 2014. Option volatility and the acceleration Lagrangian. Physica A, 393, 337363.CrossRefGoogle Scholar
Baaquie, Belal E., and Yu, Miao. 2017. Option price and market instability. Physica A: Statistical Mechanics and Its Applications, 471(1), 512535.CrossRefGoogle Scholar
Baaquie, Belal E., and Yu, Miao. 2018. Statistical field theory of futures commodity prices. Physica A: Statistical Mechanics and Its Applications, 492, 250264.CrossRefGoogle Scholar
Baaquie, Belal E., Yang, Cao, Lau, Ada, and Pan, Tang. 2012. Path integral for equities: Dynamic correlation and empirical analysis. Physica A, 391(4), 14081427.CrossRefGoogle Scholar
Baaquie, Belal E., Du, Xin, and Bhanap, Jitendra. 2014a. Option pricing: Stock price, stock velocity and the acceleration Lagrangian. Physica A: Statistical Mechanics and Its Applications, 416, 564581.CrossRefGoogle Scholar
Baaquie, Belal E., Du, Xin, Pan, Tang, and Yang, Cao. 2014b. Pricing of range accrual swap in the quantum finance Libor market model. Physica A, 401, 182200.CrossRefGoogle Scholar
Baaquie, Belal E., Du, Xin, and Tanputraman, Winson. 2015. Empirical microeconomic action functionals. Physica A: Statistical Mechanics and Its Applications, 428, 1937.CrossRefGoogle Scholar
Baaquie, Belal E., Yu, Miao, and Du, Xin. 2016. Multiple commodities in statistical microeconomics: Model and market. Physica A: Statistical Mechanics and Its Applications, 462, 912929.CrossRefGoogle Scholar
Baaquie, Belal Ehsan. 2017. Bonds with index-linked stochastic coupons in quantum finance, Volume 499, 2018, Pages 148–169.Google Scholar
Baaquie, Belal Ehsan, Yu, Miao, and Bhanap, Jiten. 2017. Risky forward interest rates and swaptions: Quantum finance model and empirical results. Physica A: Statistical Mechanics and Its Applications, 492, 222249.CrossRefGoogle Scholar
Bachelier, A.L. 1900. Theorie de la speculation. Annales Scientifiques de l’Ecole Normale Superieure, III-17, 2186.CrossRefGoogle Scholar
Bagarello, Fabio. 2013. Quantum Dynamics for Classical Systems: With Applications of the Number Operator. John Wiley.Google Scholar
Bell, J.S., and Jackiw, R. 1969. A PCAC puzzle: 0 in the sigma-model. Il Nuovo Cimento A, 60(1), 4761.CrossRefGoogle Scholar
Bender, Carl M., and Mannheim, Philip D. 2008. Exactly solvable PT -symmetric Hamiltonian having no Hermitian counterpart. Phys. Rev. D, 78(Jul.), 025022.CrossRefGoogle Scholar
Black, F., and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy, 637654.CrossRefGoogle Scholar
Bouchaud, Jean-Philippe, and Potters, Marc. 2003. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Cambridge University Press.CrossRefGoogle Scholar
Brace, A., Gatarek, D., and Musiela, M. 1996. The market model of interest rate dynamics. Mathematical Finance, 7, 127154.CrossRefGoogle Scholar
Brigo, D., and Mercurio, F. 2007. Interest Rate Models: Theory and Practice. Germany: Springer.Google Scholar
Brigo, Damiano, and Mercurio, Fabio. 2006. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Springer.Google Scholar
Busemeyer, Jerome R., and Bruza, Peter D. 2012. Quantum Models of Cognition and Decision. Cambridge University Press.CrossRefGoogle Scholar
Cargill, Thomas F., and Rausser, Gordon C. 1975. Temporal price behavior in commodity futures markets. Journal of Finance, 30(4), 10431053.Google Scholar
Chance, Don M. 1990. Default risk and the duration of zero coupon bonds. Journal of Finance, 45(1), 265274.CrossRefGoogle Scholar
Cheng, T.P, and Li, L.F. 2000. Gauge Theory of Elementary Particle Physics: Problems and Solutions. Oxford University Press.CrossRefGoogle Scholar
Coleman, Sidney, and Weinberg, Erick. 1973. Radiative corrections as the origin of spontaneous symmetry breaking. Phys. Rev. D, 7(Mar.), 18881910.CrossRefGoogle Scholar
Coleman, Sidney R. 1976. More about the massive schwinger model. Annals Phys., 101, 239.CrossRefGoogle Scholar
Das, A. 2006. Field Theory: A Path Integral Approach. Singapore: World Scientific.CrossRefGoogle Scholar
Das, A. 2008. Lectures on Quantum Field Theory. Singapore: World Scientific.CrossRefGoogle Scholar
Diebold, Francis X., and Li, Canlin. 2006. Forecasting the term structure of government bond yields. Journal of Econometrics, 130(2), 337364.CrossRefGoogle Scholar
Dirac, P.A.M. 1999. The Principles of Quantum Mechanics. 4th edn. UK: Oxford University Press.Google Scholar
Einstein, A. 1905. On the movement of small particles suspended in a stationary liquid demanded by the molecular-kinetic theory of heat. Annals Physik, 17, 549560.CrossRefGoogle Scholar
Faddeev, , L.D, and Slavnov, A.A. 1980. Gauge Fields: Introduction to Quantum Theory. USA: Benjamin Cummins.Google Scholar
Falck, N.K., and Kramer, G. 1988. Perturbation theory for the anomaly-free chiral Schwinger model. Zeitschrift für Physik C Particles and Fields, 37(2), 321327.CrossRefGoogle Scholar
Fontanini, Michele, and Trodden, Mark. 2011. Tackling higher derivative ghosts with the Euclidean path integral. Phys. Rev. D, 83(May), 103518.CrossRefGoogle Scholar
Fujikawa, Kazuo. 1984. Evaluation of the chiral anomaly in gauge theories with γ5 couplings. Phys. Rev. D, 29(Jan.), 285292.CrossRefGoogle Scholar
Garman, Mark B., and Kohlhagen, Steven W. 1983. Foreign currency option values. Journal of International Money and Finance, 2(3), 231237.CrossRefGoogle Scholar
Ghauri, S.M.K. 2012. Sukuk – The Islamic Bonds: Risks and Challenges. UK: Lambert Academic Publishing.Google Scholar
Gradshteyn, I.S., and Ryzhik, I.M. 1980. Table of Integrals, Series and Products. USA: Academic Press.Google Scholar
Green, Michael B., Schwarz, John H., and Witten, Edward. 1987. Superstring Theory, 2 vols.Google Scholar
Haven, E., and Khrennikov, A. 2013. Quantum Social Science. UK: Cambridge University Press.CrossRefGoogle Scholar
Hawking, S.W., and Hertog, Thomas. 2002. Living with ghosts. Phys. Rev. D, 65(May), 103515.CrossRefGoogle Scholar
Heath, D., Jarrow, R., and Morton, A. 1992. Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation. Econometrica, 60, 77105.CrossRefGoogle Scholar
Hetrick, J.E., Hosotani, Y., and Iso, S. 1995. The massive multi-flavor Schwinger model. Physics Letters B, 350(1), 92102.CrossRefGoogle Scholar
Hollowood, Timothy J. 2013. Renormalization Group and Fixed Points in Quantum Field Theory. Springer.CrossRefGoogle Scholar
Huang, K. 2010. Quantum field theory: From Operators to Path Integrals. USA: John Wiley.Google Scholar
Hui, C.H, and Lo, C.F. 2000. A note on risky bond valuation. International Journal of Theoretical and Applied Finance, 3(3), 575580.CrossRefGoogle Scholar
Hull, J. C. 2000. Options, Futures, and Other Derivatives. 4th edn. New Jersey: Prentice Hall.Google Scholar
Irwin, Scott H., and Sanders, Dwight R. 2011. Index funds, financialization, and commodity futures markets. Applied Economic Perspectives and Policy, 33(1), 131.CrossRefGoogle Scholar
Jagannathan, Ravi, Kaplin, Andrew, and Sun, Steve. 2003. An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices. Journal of Econometrics, 116(1), 113146.CrossRefGoogle Scholar
Jamshidian, F. 1997. Libor and swap market models and measures. Finance and Stochastics, 1(14), 293330.CrossRefGoogle Scholar
Jamshidian, Farshid. 1991. Bond and option evaluation in the Gaussian interest rate model. Research in Finance, 9, 131170.Google Scholar
Jang, Bong-Gyu, and Yoon, Ji Hee. 2010. Analytic valuation formulas for range notes and an affine term structure model with jump risks. Journal of Banking & Finance, 34(9), 21322145.CrossRefGoogle Scholar
Jarrow, R., and Turnbull, S. 2000. Derivative Securities. 2nd edn. USA: South-Western College Publishing.Google Scholar
Jarrow, R.A. 1995. Modelling Fixed Income Securities and Interest Rate Options. USA: McGraw-Hill.Google Scholar
Jarrow, Robert A., and Turnbull, Stuart M. 1995. Pricing derivatives on financial securities subject to credit risk. Journal of Finance, 50(1), 5385.CrossRefGoogle Scholar
Joglekar, Satish D. 1987. On mass independence of the minimal subtraction scheme in dimensional regularization. Phys. Rev., D35, 759.Google Scholar
Kapusta, J.I. 1993. Finite Temperature Field Theory. UK: Cambridge University Press.Google Scholar
Kleinert, H. 1986. Path integral for second derivative Lagrangian. J. Math. Phy., 27(Dec.), 30033013.CrossRefGoogle Scholar
Kleinert, H., and Schulte-Frohlinde, V. 2001. Critical Properties of Phi4 -Theories. Singapore: World Scientific.CrossRefGoogle Scholar
Lehmann, H., Symanzik, K., and Zimmermann, W. 1954. On the formulation of quantized field theories. Nuovo Cimento, 11, 342.Google Scholar
Livingstone, M. 2005. Bonds and Bond Derivatives. UK: Blackwell Publishing.Google Scholar
Lowenstein, J.H., and Swieca, J.A. 1971. Quantum electrodynamics in two-dimensions. Annals Phys., 68, 172195.CrossRefGoogle Scholar
Malik, R. P. 2001. Dual BRST symmetry for QED. Modern Physics Letters A, 16(8), 477488.CrossRefGoogle Scholar
Mannheim, P.D. 2011a. Comprehensive solution to the cosmological constant, zero-point energy, and quantum gravity problems. Gen. Rel. Gravitation, 703.Google Scholar
Mannheim, P.D. 2011b. Making the case for conformal gravity. Foundations of Physics, 532.Google Scholar
Mantegna, R.N., and Stanley, H.E. 1999. Introduction to Econophysics. UK: Cambridge University Press.CrossRefGoogle Scholar
Marinari, E., Parisi, G., and Rebbi, C. 1981. Monte Carlo simulation of the massive Schwinger model. Nucl. Phys., B190, 734.Google Scholar
Merton, Robert C. 1974. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449470.Google Scholar
Milonni, Peter W. 1994. The Quantum Vacuum. USA: Academic Press.CrossRefGoogle Scholar
Ming, Koo Wai. 1988. Path integral quantum mechanics. Honours thesis, National University of Singapore.Google Scholar
Navatte, Patrick, and Quittard-Pinon, François. 1999. The valuation of interest rate digital options and range notes revisited. European Financial Management, 5(3), 425440.CrossRefGoogle Scholar
Nunes, João Pedro Vidal. 2004. Multifactor valuation of floating range notes. Mathematical Finance, 14(1), 7997.CrossRefGoogle Scholar
Peskin, M.E., and Schroeder, D.V. 1995. An Introduction to Quantum Field Theory. USA: Addison Wesley.Google Scholar
Pindyck, Robert S. 2001. The dynamics of commodity spot and futures markets: a primer. The Energy Journal, 129.CrossRefGoogle Scholar
Polchinski, J. 1998. String Theory, 2 vols. UK: Cambridge University Press.Google Scholar
Polyakov, A.M. 1986. Fine structure of strings. Nuclear Physics, B268(406).Google Scholar
Polyakov, A.M. 1987. Gauge Fields and Strings. USA: Harwood Academic Publishers.Google Scholar
Radovanovic, V. 2005. Problem Book in Quantum Field Theory. Vol. 2. Springer.Google Scholar
Rebonato, R., and Joshi, M. 2002. A joint empirical and theoretical investigation of the modes of deformation of swaption matrices: Implications for model choice. International Journal of Theoretical and Applied Finance, 5, 667694.CrossRefGoogle Scholar
Robert, Christian P., and Casella, George. 1999. Monte Carlo Statistical Methods. Springer.CrossRefGoogle Scholar
Roehner, Bertrand M. 2002a. Patterns of Speculation: A Study in Observational Econophysics. Cambridge University Press.CrossRefGoogle Scholar
Roehner, Bertrand M. 2002b. Theory of Markets: Trade and Spacetime Patterns of Price Fluctuations A Study in Analytical Economics. Cambridge University Press.Google Scholar
Saa-Requejo, Jesus, and Santa-Clara, Pedro. 1997. Bond pricing with default risk. Anderson Graduate School of Management Working Paper No. 13 (Los Angeles: University of California).Google Scholar
Schwinger, Julian. 1962. Gauge invariance and mass. Phys. Rev., 125(Jan.), 397398.CrossRefGoogle Scholar
Shalloway, David. 1979. Renormalization group and infrared behavior of quantum chromodynamics. Phys. Rev. D, 19(Mar.), 17621781.CrossRefGoogle Scholar
Shen, Yue. 1993. The Coleman-Weinberg mechanism and first order phase transitions. Physics Letters B, 315(1), 146151.CrossRefGoogle Scholar
Simkin, M.V., and Olness, J. 2001. Application of the renormalization group method in wireless market intelligence. https://arxiv.org/ftp/cond-mat/papers/0108/0108072.pdf.Google Scholar
Smith, Aaron. 2005. Partially overlapping time series: A new model for volatility dynamics in commodity futures. Journal of Applied Econometrics, 20(3), 405422.CrossRefGoogle Scholar
Sornette, D. 2003. Why Stock Markets Crash: Critical Events in Complex Financial Systems. USA: Princeton University Press.Google Scholar
Sornette, D., and Zhou, W.-X. 2006. Predictability of large future changes in major financial indices. International Journal of Forecasting 22, 153168.CrossRefGoogle Scholar
Srednicki, M. 2007. Quantum Field Theory. Cambridge University Press.CrossRefGoogle Scholar
Tanputraman, Winson. 2014. Modeling commodities in statistical microeconomics. Honours thesis, National University of Singapore.Google Scholar
Tomek, William G. 1997. Commodity futures prices as forecasts. Review of Agricultural Economics, 2344.CrossRefGoogle Scholar
Tung, W.K. 2003. Group Theory in Physics. World Scientific.Google Scholar
van den Hoek, Bram. 2012. Alternative swaption valuation methods. Thesis, Tilburg University.Google Scholar
Weinberg, S. 2010. The Theory of Quantum Fields, 3 vols. UK: Cambridge Univesity Press.Google Scholar
Wilson, K.G., and Kogut, John B. 1974. The renormalization group and the epsilon expansion. Phys. Rept., 12, 75200.CrossRefGoogle Scholar
Wilson, Kenneth G. 1974. Confinement of quarks. Phys. Rev. D, 10(Oct.), 24452459.CrossRefGoogle Scholar
Wilson, Kenneth G. 1983. The renormalization group and critical phenomena. Rev. Mod. Phys., 55(Jul.), 583600.CrossRefGoogle Scholar
Witten, Edward. 1989. Quantum field theory and the Jones polynomial. Communications in Mathematical Physics, 121(3), 351399.CrossRefGoogle Scholar
Yang, Cao. 2012. Higher derivative models and Libor market model in quantum finance. Ph.D. thesis, National University of Singapore, Department of Physics, 2 Science Drive 3, Singapore 117551.Google Scholar
Zinn-Justin, J. 1993. Quantum Field Theory and Critical Phenomena. UK: Oxford University Press.Google Scholar
Zwiebach, B. 2009. A First Course in String Theory. Cambridge: Cambridge University Press.CrossRefGoogle Scholar

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×