Stiff Field Theory of Interest Rates and Psychological Future TimeReport as inadecuate



 Stiff Field Theory of Interest Rates and Psychological Future Time


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The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink (infinite curvature) of the normalized correlation function for coinciding maturities. Motivated by empirical

Author: Belal Baaquie; Jean-Philippe Bouchaud

Source: https://archive.org/







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