Comparison of field theory models of interest rates with market data.
نویسندگان
چکیده
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.
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عنوان ژورنال:
- Physical review. E, Statistical, nonlinear, and soft matter physics
دوره 69 3 Pt 2 شماره
صفحات -
تاریخ انتشار 2004