Comparison of Field Theory Models of Interest Rates with Market Data
classification
❄️ cond-mat.soft
q-fin.ST
keywords
datamarketfieldinterestmodelmodelsratestheory
read the original abstract
We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor 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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