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 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.
Baaquie
Belal E
BE
Department of Physics, National University of Singapore, 2 Science Drive, Singapore 117542. phybeb@nus.edu.sg
Srikant
Marakani
M