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unkpath
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 8th, 2007, 9:07 pm

that depends a lot on what you already know of the field and if you don't know much what you want to know. I would definitely stay away from the esoteric stuff for as long as you can positively learn useful stuff that is actually important for the industry. that can take a very long time.
 
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quantmeh
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 11th, 2007, 12:42 am

I got the book from a library, started reading and felt very disappointed. I'm going to return it on my next visit to a library.The first thing he did was this. He takes Black-Scholes PDE, substitutes stock price variable by S=exp(x), then defines "Hamiltonian", but his Hamiltionian is not Hermitian! all he does is pretty much redefine BS PDE as some sort of Schroedinger-like equation. Then he manipulates with formulas a little bit and solves it. This whole thing seemed like some kind of mathematical manipulation without conceptual change. I don't see anything new. You can solve BS PDE in several different ways, so what? there must be some methodological novelty, new view or something in that direction. This book is not what I would expect from it by its name. I thought that some new concept of quanting something should be brought in. Quantum physics is not about solving Shroedinger's equation. It started with very fundamental ideas and observations like Max Planck's or de-Broigle's.
 
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PaperCut
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 16th, 2007, 1:55 am

QuoteOriginally posted by: jawabeanI got the book from a library, started reading and felt very disappointed. I'm going to return it on my next visit to a library.The first thing he did was this. He takes Black-Scholes PDE, substitutes stock price variable by S=exp(x), then defines "Hamiltonian", but his Hamiltionian is not Hermitian! all he does is pretty much redefine BS PDE as some sort of Schroedinger-like equation. Then he manipulates with formulas a little bit and solves it. This whole thing seemed like some kind of mathematical manipulation without conceptual change. I don't see anything new. You can solve BS PDE in several different ways, so what? there must be some methodological novelty, new view or something in that direction. This book is not what I would expect from it by its name. I thought that some new concept of quanting something should be brought in. Quantum physics is not about solving Shroedinger's equation. It started with very fundamental ideas and observations like Max Planck's or de-Broigle's.Unfortunately I agree. The title and concept were so interesting that I took the plunge, and I concluded virtually the same thing as you. There seems to be no new or novel or useful machinery in the approach. I had been hoping that the "Hamiltonian" would be a familiar and ready framework, which is familiar to me from science at school, but really it's just a cumbersome mathematical affectation.I would say don't bother.
 
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zeta
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 16th, 2007, 11:28 am

I went through it as well, although I think there was some value in it vis a vis defining a Hamiltonian. there's a whole slew of other many body techniques out there, from condensed matter/computational chemistry that are are yet to be tapped in finance. nothing to do with strings, oscillators, path integrals, exotic lie groups etc etc etc
 
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ppauper
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 16th, 2007, 12:14 pm

QuoteOriginally posted by: PaperCutQuoteOriginally posted by: jawabeanI got the book from a library, started reading and felt very disappointed. I'm going to return it on my next visit to a library.The first thing he did was this. He takes Black-Scholes PDE, substitutes stock price variable by S=exp(x), then defines "Hamiltonian", but his Hamiltionian is not Hermitian! all he does is pretty much redefine BS PDE as some sort of Schroedinger-like equation. Then he manipulates with formulas a little bit and solves it. This whole thing seemed like some kind of mathematical manipulation without conceptual change. I don't see anything new. You can solve BS PDE in several different ways, so what? there must be some methodological novelty, new view or something in that direction. This book is not what I would expect from it by its name. I thought that some new concept of quanting something should be brought in. Quantum physics is not about solving Shroedinger's equation. It started with very fundamental ideas and observations like Max Planck's or de-Broigle's.Unfortunately I agree. The title and concept were so interesting that I took the plunge, and I concluded virtually the same thing as you. There seems to be no new or novel or useful machinery in the approach. I had been hoping that the "Hamiltonian" would be a familiar and ready framework, which is familiar to me from science at school, but really it's just a cumbersome mathematical affectation.I would say don't bother.I haven't seen this book yet, but in the past I came across folks applying this sort of approach in fluid mechanics (reformulating existing results using Hamiltonians, nothing new, just wrapping up other people's work in Hamiltonian wrapping paper) and my feeling was always what's the point. Everyone in fluids understood the existing results.You guys are saying that this book falls in the same category.
 
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jfuqua
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 16th, 2007, 1:29 pm

Some of the authors papers are online for anyone that wants to see what the author was trying to do without buying/borrowing the book.
 
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Cuchulainn
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 16th, 2007, 1:47 pm

Quotein the past I came across folks applying this sort of approach in fluid mechanics (reformulating existing results using Hamiltonians, nothing new, just wrapping up other people's work in Hamiltonian wrapping paper) and my feeling was always what's the pointMy 2 cents is that looking for clever transformations leads to PDEs that are even more difficult than the ones we are trying to solve. Of course, I may be wrong.
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unkpath
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 17th, 2007, 1:47 am

QuoteI haven't seen this book yet, but in the past I came across folks applying this sort of approach in fluid mechanics (reformulating existing results using Hamiltonians, nothing new, just wrapping up other people's work in Hamiltonian wrapping paper) and my feeling was always what's the point. Everyone in fluids understood the existing results.You guys are saying that this book falls in the same category.In principle I agree with you and find it almost disgraceful to justify research based on the fact that you have a set of tools, have run out of ideas in your field, and then try to apply it elsewhere. I think that most of the time this does not work, although many many people believe that such lateral thinking is super-important. So be it, most people though just try to crank out a few extra-papers and then also call themselves interdisciplinary. In the case of hamiltonian dynamics and hydrodynamics though, I have to disagree and can tell you exactly why. The applications of Lie-Poisson mechanics in geophysical fluid dynamics had a very well defined goal in meteorology and oceanography, the definition of so-called 'balanced models' as a generalization of quasi-geopstrophic models. Interestingly when people discovered that things did not work out, all these approaches got out of fashion, like totally out of fashion. Besides, Hamiltonian dynamics has allowed to reconsider and rediscover some very fundamental laws of hydrodynamics.For instance it can be shown that the so-called 'particle relabeling symmetry' trivially leads to the vorticity conservation equation.
 
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unkpath
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 17th, 2007, 1:49 am

QuoteMy 2 cents is that looking for clever transformations leads to PDEs that are even more difficult than the ones we are trying to solve. Of course, I may be wrong.you are just covering your bum again chuch, as usual. there is no way you can make this sort of generalization. I actually think that you are wrong.
 
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 17th, 2007, 7:20 am

QuoteOriginally posted by: unkpathQuoteMy 2 cents is that looking for clever transformations leads to PDEs that are even more difficult than the ones we are trying to solve. Of course, I may be wrong.you are just covering your bum again chuch, as usual. there is no way you can make this sort of generalization. I actually think that you are wrong.unkpath,No, solutions for PDE/FDM already exist without the need for transformations.On this forum we have had many discussions on this idea and no one here has come up with a solution.Will you give an example and share some of your insights? Have a look at this thread:here QuoteBesides, Hamiltonian dynamics has allowed to reconsider and rediscover some very fundamental laws of hydrodynamics.For instance it can be shown that the so-called 'particle relabeling symmetry' trivially leads to the vorticity conservation equationOK, how can I write the simple convection-diffusion-reaction equation Ut = aUxx + bUyy + cUx + dUy + eUxy + fUusing Hamiltonian formalisms? Take all coefficients to be constant for the moment. Then I can compare the numerical results with other methods.
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ppauper
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 17th, 2007, 12:18 pm

QuoteOriginally posted by: unkpathIn the case of hamiltonian dynamics and hydrodynamics though, I have to disagree and can tell you exactly why. The applications of Lie-Poisson mechanics in geophysical fluid dynamics had a very well defined goal in meteorology and oceanography, the definition of so-called 'balanced models' as a generalization of quasi-geopstrophic models. Interestingly when people discovered that things did not work out, all these approaches got out of fashion, like totally out of fashion. Besides, Hamiltonian dynamics has allowed to reconsider and rediscover some very fundamental laws of hydrodynamics.For instance it can be shown that the so-called 'particle relabeling symmetry' trivially leads to the vorticity conservation equation.again "reconsider" and "rediscover". Like I said, nothing new.Just repackaging fluid mechanics in a form that folks in other branches of physics can understand.There are quicker and easier and more intuitive ways to get those results
 
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zeta
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

April 17th, 2007, 1:50 pm

"Of course I may be wrong" denotes some degree of humility, unkpath, you might try some humility on for size and see if it fitsI'm not sure I get all the angst for the book, the author uses field theory for an interest rate model (succesfully) right? I haven't read it for a while, but I remember I found the lament for lack of hermitiancy weird, since the spectral/hilbert space/Sturm Liouville is a small subset of the (sic) tools/pictures available. like I said there's a great deal of methods in between the basic (hilbert) and the esoteric (strings) that not only gives a mechanism/structure for solving a difficult problem, but also gives beautiful insights. Unfortunately there are only 24 hours in the day
 
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

November 24th, 2009, 8:41 pm

Interest Rates and Coupon Bonds in Quantum Financeby Belal E. BaaquieHardcover: 508 pages Publisher: Cambridge University Press; 1 edition (October 30, 2009)ISBN-10: 0521889286
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gsgiles
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

June 7th, 2010, 3:42 pm

I have a question on his earlier book 'Quantum Finance'. Where is the insight? He seems to be hell bent on pounding field theory into finance. Since both are discrete he squeezes a stone (path integration) real hard yet gets no water. I am newbie, but it would seem the comments on his books seem to agree with me. I am only half way through but see little return on the effort to finish it.On the bright side I would recommend AT Formenko's book on Integrable Hamiltonian's. I always seem to find that the authors trained under the old Soviet Union write vastly more readable books, ie recipes you can use, as opposed to things that can be made intelligible through a more intense effort, yet yielding the same recipes, or recipes that lead nowhere. I guess the threat of Siberia forced an element of practicality that is lost on the west's academicians.My $.02
 
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mynetself
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New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

June 9th, 2010, 5:13 pm

I'm not going to comment on the book, but want to add something about the Hamiltonian formulation of some problem. It is not just "repacking other people's work". If that was the case, you can be pretty sure that after 150+yrs since it's been introduced, people would have noticed it and we wouldn't even be talking about it. The thing is, there are problems in classical mechanics, and many other phsyical applications for that matter, where the Hamiltonian formulation provides a more direct solution of the problem. (Read: Work 5hrs rather than 5 weeks). This in itself is worth the effort. On top of that, sometimes the Hamiltonian approach is plain and simply essential to obtain *any* result - consider the perturbation of the orbits of the planets in our solar system. With Newton's equations you won't go very far. Finally, in General Relativity, the entire field of Numerical Relativity fundamentally relies on the Hamiltonian formulation of Einstein's equations as it allows for the "3+1" split. In other words, it allows for time to be "distinguished" and hence evolve the equations numerically "in time". (In GR time and space are on the same footing an it is not obvious what does it mean to evolve something in time. The Hamiltonian formulation allows you to do that.)To conclude, the very fact that we are talking about the Hamiltonian formulation of something is because in time it proved a really useful tool, at least in physics. In other words, it's not "just repacking the work of others in a different setting". Having said that, if it's of any use in finance, I don't know. But I certainly don't plan to study it until I know the basics... more than enough of that for me to learn
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