Comparison of Field Theory Models of Interest Rates with Market Data

Details Comparison of Field Theory Models of Interest Rates with Market Data Comparison of Field Theory Models of Interest Rates with Market Data

2002-08-27

arxiv.org/abs/cond-mat/0208528v1

Phys. Rev. E 69, 036129 (2004)

Physics

Condensed Matter

Soft Condensed Matter

9 figures

Scientific paper

10.1103/PhysRevE.69.036129

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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