%0 Generic %1 citeulike:1053272 %A Baaquie, Belal E. %D 1998 %K finmath, quantum %T Quantum Field Theory of Treasury Bonds %U http://arxiv.org/abs/cond-mat/9809199 %X 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.

@electronic{citeulike:1053272, abstract = {{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.}}, added-at = {2019-06-18T20:47:03.000+0200}, archiveprefix = {arXiv}, author = {Baaquie, Belal E.}, biburl = {https://www.bibsonomy.org/bibtex/2654fa9fcf961909d3ebe1fd4c898c925/alexv}, citeulike-article-id = {1053272}, citeulike-linkout-0 = {http://arxiv.org/abs/cond-mat/9809199}, citeulike-linkout-1 = {http://arxiv.org/pdf/cond-mat/9809199}, day = 14, eprint = {cond-mat/9809199}, interhash = {661a9673d7789f2f4c901ce6dfe9ba1b}, intrahash = {654fa9fcf961909d3ebe1fd4c898c925}, keywords = {finmath, quantum}, month = sep, posted-at = {2007-01-19 16:32:14}, priority = {2}, timestamp = {2019-06-18T20:47:03.000+0200}, title = {{Quantum Field Theory of Treasury Bonds}}, url = {http://arxiv.org/abs/cond-mat/9809199}, year = 1998 }