IDEAS home Printed from
   My bibliography  Save this article

El modelo de Vasicek y la integral de trayectoria de Feynman


  • Francisco Ortiz Arango

    (Universidad Panamericana)

  • Francisco Venegas-Martínez

    () (Instituto Politécnico Nacional)


The aim of this paper is to show the convenience of using mathematical tools from quantum mechanics to solve some financial problems. In particular, the Vasicek short-rate model in continuous time is discussed in the framework of the Feynman path integral. To do this, the Lagrangian of the system is obtained from the Hamiltonian associate to the backward Fokker-Planck equation. Subsequently, the action is calculated to obtain the price of a zero-coupon bond and its forward rate. In conclusion, the paper attempts to show that quantum mechanics is an effective alternative in solving some complex problems that arise in pricing derivatives

Suggested Citation

  • Francisco Ortiz Arango & Francisco Venegas-Martínez, 2008. "El modelo de Vasicek y la integral de trayectoria de Feynman," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 9-19.
  • Handle: RePEc:ega:rafega:200802

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. repec:hrv:faseco:30728046 is not listed on IDEAS
    2. Rafael La Porta & Florencio Lopez-De-Silanes & Andrei Shleifer, 1999. "Corporate Ownership Around the World," Journal of Finance, American Finance Association, vol. 54(2), pages 471-517, April.
    3. Franklin Allen, 2005. "Corporate Governance in Emerging Economies," Oxford Review of Economic Policy, Oxford University Press, vol. 21(2), pages 164-177, Summer.
    4. repec:hrv:faseco:30747162 is not listed on IDEAS
    5. Hoshino, Taeko, 2004. "Family Business in Mexico: Responses to Human Resource Limitations and Management Succession," IDE Discussion Papers 12, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    Full references (including those not matched with items on IDEAS)

    More about this item


    Productos derivados;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200802. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (José Antonio Núñez). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.