In this paper, we study the term structure of
corporate bond credit spread by using quantum finance method based
on the Heath-Jarrow-Morton model (hereinafter referred to as HJM model).
In the quantum field theory model, the volatility of credit spread with
different remaining maturity times is not completely correlated. The credit
spread has the characteristics of periodic changes, and the volatility
correlation is different in different periods. Therefore, this paper makes
periodic analysis of credit spread and and divides the empirical data in
the time dimension to select the optimal data interval. The results show
that the term structure model of credit spread under quantum field theory
is better than the traditional HJM model in fitting the market data, and the
parameter estimation considering the periodicity of credit spread is also
better than that without considering the periodicity. The results of this
study have reference significance for the application of quantum finance
to the research on the term structure of credit spread of corporate bonds.
FENG Ling, CHEN Yufan.
The Term Structure of Credit Spread Based on Quantum Field Theory. Journal of Systems Science and Mathematical Sciences, 2021, 41(3): 627-639 https://doi.org/10.12341/jssms20160