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

  • L. Ingber

    ()

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

No abstract is available for this item.

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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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  1. 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.
  2. 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.
  3. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
  4. L. Ingber, 1989. "Mathematical comparison of JANUS(T) simulation to National Training Center," Lester Ingber Papers 89mj, Lester Ingber.
  5. 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.
  6. L. Ingber, 1986. "Riemannian contributions to short-ranged velocity-dependent nucleon-nucleon interactions," Lester Ingber Papers 86rc, Lester Ingber.
  7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  8. 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.
  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. 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.
  11. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  12. 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.
  13. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
  14. L. Ingber & P.L. Nunez, 1990. "Multiple scales of statistical physics of neocortex: Application to electroencephalography," Lester Ingber Papers 90ms, Lester Ingber.
  15. 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.
  16. L. Ingber & D.D. Sworder, 1991. "Statistical mechanics of combat with human factors," Lester Ingber Papers 91ch, Lester Ingber.
  17. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  18. L. Ingber, 1989. "Mathematical comparison of computer models to exercise data," Lester Ingber Papers 89mm, Lester Ingber.
  19. L. Ingber, 1984. "Path-integral Riemannian contributions to nuclear Schrodinger equation," Lester Ingber Papers 84pi, Lester Ingber.
  20. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
  21. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
  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, 1986. "Nonlinear nonequilibrium statistical mechanics approach to C3 systems," Lester Ingber Papers 86nn, Lester Ingber.
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