相关论文: A Quantum Field Theory Term Structure Model Applie…

We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly…

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.…

A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model. This test is independent of the volatility function unlike…

Algebraic quantum field theory is an approach to relativistic quantum physics, notably the theory of elementary particles, which complements other modern developments in this field. It is particularly powerful for structural analysis but…

We develop a unified framework for modeling multiple term structures arising in financial, insurance, and energy markets, adopting an extended Heath-Jarrow-Morton (HJM) approach under the real-world probability. We study market viability…

The well-known geometric approach to field theory is based on description of classical fields as sections of fibred manifolds, e.g. bundles with a structure group in gauge theory. In this approach, Lagrangian and Hamiltonian formalisms…

A modular quantum architecture is given for the space-time, particles, and fields of the Standard Model and General Relativity. It assumes a right-handed neutrino, so that based on their multiplet structure all fundamental fermions have…

In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are…

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…

This paper proposes a general framework for nonperturbatively defining continuum quantum field theories. Unlike most such frameworks, the one offered here is finitary: continuum theories are defined by reducing large but finite quantum…

We present a systematic and reliable methodology, termed hierarchical mean-field theory (HMFT), to study and predict the behavior of strongly coupled many-particle systems. HMFT is a simple approximation, based upon group theoretical…

We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against…

We implement in the formal language of homotopy type theory a new set of axioms called cohesion. Then we indicate how the resulting cohesive homotopy type theory naturally serves as a formal foundation for central concepts in quantum gauge…

In the jet bundle description of Field Theories (multisymplectic models, in particular), there are several choices for the multimomentum bundle where the covariant Hamiltonian formalism takes place. As a consequence, several proposals for…

Algebraic quantum field theory is considered from the perspective of the Hochschild cohomology bicomplex. This is a framework for studying deformations and symmetries. Deformation is a possible approach to the fundamental challenge of…

Considering homogeneous four-dimensional space-time geometries within real projective geometry provides a mathematically well-defined framework to discuss their deformations and limits without the appearance of coordinate singularities. On…

Starting from full quantum field theory, various mean field approaches are derived systematically. With a full consideration of external source dependence, the stationary phase approximation of an action gives a nuclear mean field theory…

The paper investigates relations between the phase space structure of a quantum field theory ("nuclearity") and the concept of pointlike localized fields. Given a net of local observable algebras, a phase space condition is introduced that…

We propose a new formalism for quantum field theory which is neither based on functional integrals, nor on Feynman graphs, but on marked trees. This formalism is constructive, i.e. it computes correlation functions through convergent rather…

We consider the quantum Hall effect in terms of an effective field theory formulation of the edge states, providing a natural common framework for the fractional and integral effects.