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Application of statistical mechanics methodology to term-structure bond-pricing models

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  • L. Ingber
  • M.F. Wehner
  • G.M. Jabbour
  • T.M. Barnhill

Abstract

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Suggested Citation

  • L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
    • Handle: RePEc:lei:ingber:91as
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    References listed on IDEAS

    as
    1. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
    3. L. Ingber, 1986. "Nonlinear nonequilibrium statistical mechanics approach to C3 systems," Lester Ingber Papers 86nn, Lester Ingber.
    4. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
    5. L. Ingber & P.L. Nunez, 1990. "Multiple scales of statistical physics of neocortex: Application to electroencephalography," Lester Ingber Papers 90ms, Lester Ingber.
    6. L. Ingber, 1985. "Statistical mechanics of neocortical interactions: Stability and duration of the 7+-2 rule of short-term-memory capacity," Lester Ingber Papers 85st, Lester Ingber.
    7. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
    8. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    9. Dietrich-Campbell, Bruce & Schwartz, Eduardo, 1986. "Valuing debt options : Empirical evidence," Journal of Financial Economics, Elsevier, vol. 16(3), pages 321-343, July.
    10. L. Ingber, 1984. "Path-integral Riemannian contributions to nuclear Schrodinger equation," Lester Ingber Papers 84pi, Lester Ingber.
    11. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    12. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
    13. Taylor, Stephen J., 1982. "Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 37-61, March.
    14. L. Ingber & D.D. Sworder, 1991. "Statistical mechanics of combat with human factors," Lester Ingber Papers 91ch, Lester Ingber.
    15. Schaefer, Stephen M. & Schwartz, Eduardo S., 1984. "A Two-Factor Model of the Term Structure: An Approximate Analytical Solution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(4), pages 413-424, December.
    16. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    17. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
    18. L. Ingber, 1984. "Statistical mechanics of neocortical interactions. Derivation of short-term-memory capacity," Lester Ingber Papers 84ni, Lester Ingber.
    19. Mandelbrot, Benoit B, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment," Econometrica, Econometric Society, vol. 41(1), pages 157-159, January.
    20. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
    21. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    22. L. Ingber, 1989. "Mathematical comparison of JANUS(T) simulation to National Training Center," Lester Ingber Papers 89mj, Lester Ingber.
    23. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    24. L. Ingber, 1985. "Statistical mechanics of neocortical interactions. EEG dispersion relations," Lester Ingber Papers 85ni, Lester Ingber.
    25. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    26. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
    27. L. Ingber, 1983. "Statistical mechanics of neocortical interactions. Dynamics of synaptic modification," Lester Ingber Papers 83ni, Lester Ingber.
    28. L. Ingber, 1989. "Mathematical comparison of computer models to exercise data," Lester Ingber Papers 89mc, Lester Ingber.
    29. L. Ingber, 1986. "Riemannian contributions to short-ranged velocity-dependent nucleon-nucleon interactions," Lester Ingber Papers 86rc, Lester Ingber.
    30. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    31. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
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    Citations

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    Cited by:

    1. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
    2. L. Ingber, 1994. "Statistical mechanics of neocortical interactions: Path-integral evolution of short-term memory," Lester Ingber Papers 94ni, Lester Ingber.
    3. Lester Ingber & Radu Paul Mondescu, 2000. "Optimization of Trading Physics Models of Markets," Papers physics/0007075, arXiv.org.
    4. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
    5. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
    6. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
    7. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
    8. Sornette, Didier & Johansen, Anders, 1998. "A hierarchical model of financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 261(3), pages 581-598.
    9. Sornette, Didier & Johansen, Anders, 1997. "Large financial crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 411-422.
    10. Victor Lebreton, 2007. "Le trading algorithmique," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00332823, HAL.
    11. L. Ingber, 1993. "Statistical mechanics of combat and extensions," Lester Ingber Papers 93ce, Lester Ingber.
    12. L. Ingber & B. Rosen, 1992. "Genetic algorithms and very fast simulated reannealing: A comparison," Lester Ingber Papers 92ga, Lester Ingber.
    13. L. Ingber, 1996. "Adaptive simulated annealing (ASA): Lessons learned," Lester Ingber Papers 96as, Lester Ingber.
    14. L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
    15. L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.
    16. L. Ingber, 1992. "Generic mesoscopic neural networks based on statistical mechanics of neocortical interactions," Lester Ingber Papers 92gm, Lester Ingber.
    17. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
    18. Paolo Postiglione & Maria Simona Andreano & Roberto Benedetti, 2017. "Spatial Clusters in EU Productivity Growth," Growth and Change, Wiley Blackwell, vol. 48(1), pages 40-60, March.
    19. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
    20. L. Ingber & R. Srinivasan & P.L. Nunez, 1996. "Path-integral evolution of chaos embedded in noise: Duffing neocortical analog," Lester Ingber Papers 96pi, Lester Ingber.

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