Phys. Rev. E 69, 036129 (2004) [8 pages]Comparison of field theory models of interest rates with market dataReceived 25 September 2002; revised 13 May 2003; published 31 March 2004 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. © 2004 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevE.69.036129
DOI:
10.1103/PhysRevE.69.036129
PACS:
89.65.Gh, 05.10.Gg, 05.40.Jc
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