Kim, Min Jae; Hwang, Dong Il; Lee, Sun Young; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 847-863
Quantum finance successfully implements the imperfectly correlated fluctuation of forward interest rates at different maturities, by replacing the Wiener process with a two-dimensional quantum field. Interest rate derivatives can be priced at a more realistic value under this new framework. The...