Comparison of field theory models of interest rates with market data

Belal E. Baaquie and Marakani Srikant
Phys. Rev. E 69, 036129 – Published 31 March 2004
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Abstract

We calibrate and test various variants of field theory models of the interest rate with data from Eurodollar futures. Models based on psychological factors 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.

  • Received 25 September 2002

DOI:https://doi.org/10.1103/PhysRevE.69.036129

©2004 American Physical Society

Authors & Affiliations

Belal E. Baaquie* and Marakani Srikant†

  • Department of Physics, National University of Singapore, 2 Science Drive, Singapore 117542

  • *Electronic address: phybeb@nus.edu.sg
  • †Electronic address: srikant@srikant.org

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Vol. 69, Iss. 3 — March 2004

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