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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

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Bibliographic Info

Paper provided by Lester Ingber in its series Lester Ingber Papers with number 91as.

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Date of creation: 1991
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Handle: RePEc:lei:ingber:91as

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References

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  1. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
  2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  3. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  4. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
  5. 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 363-84, March.
  6. L. Ingber, 1986. "Riemannian contributions to short-ranged velocity-dependent nucleon-nucleon interactions," Lester Ingber Papers 86rc, Lester Ingber.
  7. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
  8. 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.
  9. 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(03), pages 301-329, September.
  10. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  11. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  12. L. Ingber, 1989. "Mathematical comparison of computer models to exercise data," Lester Ingber Papers 89mc, Lester Ingber.
  13. 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 1011-29, December.
  14. 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 769-99, September.
  15. L. Ingber, 1986. "Nonlinear nonequilibrium statistical mechanics approach to C3 systems," Lester Ingber Papers 86nn, Lester Ingber.
  16. L. Ingber, 1984. "Path-integral Riemannian contributions to nuclear Schrodinger equation," Lester Ingber Papers 84pi, Lester Ingber.
  17. L. Ingber & D.D. Sworder, 1991. "Statistical mechanics of combat with human factors," Lester Ingber Papers 91ch, Lester Ingber.
  18. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  19. L. Ingber & P.L. Nunez, 1990. "Multiple scales of statistical physics of neocortex: Application to electroencephalography," Lester Ingber Papers 90ms, Lester Ingber.
  20. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
  21. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  22. 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(01), pages 37-61, March.
  23. L. Ingber, 1989. "Mathematical comparison of JANUS(T) simulation to National Training Center," Lester Ingber Papers 89mj, Lester Ingber.
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Citations

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Cited by:
  1. L. Ingber & B. Rosen, 1993. "Genetic algorithms and very fast simulated reannealing: A comparison," Lester Ingber Papers 93ga, Lester Ingber.
  2. 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.
  3. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
  4. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
  5. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
  6. L. Ingber & R.P. Mondescu, 2001. "Optimization of trading physics models of markets," Lester Ingber Papers 01ot, Lester Ingber.
  7. L. Ingber, 1993. "Statistical mechanics of combat and extensions," Lester Ingber Papers 93ce, Lester Ingber.
  8. L. Ingber, 1992. "Generic mesoscopic neural networks based on statistical mechanics of neocortical interactions," Lester Ingber Papers 92gm, Lester Ingber.
  9. 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.
  10. L. Ingber, 1996. "Adaptive simulated annealing (ASA): Lessons learned," Lester Ingber Papers 96as, Lester Ingber.
  11. L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.
  12. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
  13. L. Ingber, 1994. "Statistical mechanics of neocortical interactions: Path-integral evolution of short-term memory," Lester Ingber Papers 94ni, Lester Ingber.
  14. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.

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