Quantum Finance
Path Integrals and Hamiltonians for Options and Interest Rates

This book applies techniques from quantum mechanics and quantum field theory to financial physics.

Belal E. Baaquie (Author)

9780521714785, Cambridge University Press

Paperback, published 23 July 2007

336 pages, 5 tables
24.3 x 16.8 x 1.8 cm, 0.544 kg

This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the theory of options. Particular emphasis is placed on path integrals and Hamiltonians. Financial mathematics is dominated by stochastic calculus. The present book offers a formulation that is completely independent of that approach. As such many results emerge from the ideas developed by the author. This work will be of interest to physicists and mathematicians working in the field of finance, to quantitative analysts in banks and finance firms and to practitioners in the field of fixed income securities and foreign exchange. The book can also be used as a graduate text for courses in financial physics and financial mathematics.

Foreword
Preface
Acknowledgements
1. Synopsis
Part I. Fundamental Concepts of Finance: 2. Introduction to finance
3. Derivative securities
Part II. Systems with Finite Number of Degrees of Freedom: 4. Hamiltonians and stock options
5. Path integrals and stock options
6. Stochastic interest rates' Hamiltonians and path integrals
Part III. Quantum Field Theory of Interest Rates Models: 7. Quantum field theory of forward interest rates
8. Empirical forward interest rates and field theory models
9. Field theory of Treasury Bonds' derivatives and hedging
10. Field theory Hamiltonian of forward interest rates
11. Conclusions
Appendix A: mathematical background
Brief glossary of financial terms
Brief glossary of physics terms
List of main symbols
References
Index.

Subject Areas: Physics [PH], Mathematical modelling [PBWH], Finance & accounting [KF]