Thermodynamics 2.0 | 2022 Program: Sessions and Abstracts

Mon - Wed, July 18 - July 20 , 2022 , Boone, North Carolina

Session T08: Quantum formalism in Finance & Economics

10:45-12:00. Tuesday July 19, 2022

Chair: Erald Kolasi

Title: Oscillator Model for Risky Corporate Coupon Bonds

Presenter:

  • Belal Baaquie

(Helixtap Technologies, Singapore)

Bio-sketch

My published papers: https://scholar.google.com/citations?user=lRavKToAAAAJ&hl=en My published books: https://www.amazon.com/Belal-E-Baaquie/e/B07GCC7WQ4%3Fref=dbs_a_mng_rwt_scns_share

Author(s):

  • Belal Baaquie

(Helixtap Technologies, Singapore)

images

Abstract:T08.155

Abstract

An exact model for Merton’s formulation of risky coupon bond is derived. The coupons are stochastic, depending on the market capitalization of the issuing firms. The model has been empirically tested using 40 coupon bonds on the NYSE. Some of the results are discussed.

.Keywords: oscillator model, coupon bonds, stochastic, Merton’s model,