Baaquie, Belal E.; Yang, Cao - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 13, pp. 2666-2681
Empirical forward interest rates drive the debt markets. Libor and Euribor futures data is used to calibrate and test models of interest rates based on the formulation of quantum finance. In particular, all the model parameters, including interest rate volatilities, are obtained from market...