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Comparison of Field Theory Models of Interest Rates with Market Data

We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.
Year of publication:
2002-08
Authors: Baaquie, Belal E. ; Srikant, Marakani
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Phys. Rev. E 69, 036129 (2004)
Source:
Persistent link: https://www.econbiz.de/10005099399
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