IDEAS home Printed from https://ideas.repec.org/p/lei/ingber/91as.html
   My bibliography  Save this paper

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

Author

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

Abstract

No abstract is available for this item.

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
    as

    Download full text from publisher

    File URL: https://www.ingber.com/markets91_interest.pdf
    Download Restriction: no
    File URL: https://www.ingber.com/markets91_interest.ps.gz
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. L. Ingber, 1986. "Nonlinear nonequilibrium statistical mechanics approach to C3 systems," Lester Ingber Papers 86nn, Lester Ingber.
    3. L. Ingber & P.L. Nunez, 1990. "Multiple scales of statistical physics of neocortex: Application to electroencephalography," Lester Ingber Papers 90ms, Lester Ingber.
    4. 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.
    5. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
    6. 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..
    7. L. Ingber, 1984. "Path-integral Riemannian contributions to nuclear Schrodinger equation," Lester Ingber Papers 84pi, Lester Ingber.
    8. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
    9. 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.
    10. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    11. L. Ingber, 1985. "Statistical mechanics of neocortical interactions. EEG dispersion relations," Lester Ingber Papers 85ni, Lester Ingber.
    12. L. Ingber, 1989. "Mathematical comparison of computer models to exercise data," Lester Ingber Papers 89mc, Lester Ingber.
    13. 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.
    14. 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..
    15. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
    16. 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.
    17. Dietrich-Campbell, Bruce & Schwartz, Eduardo, 1986. "Valuing debt options : Empirical evidence," Journal of Financial Economics, Elsevier, vol. 16(3), pages 321-343, July.
    18. 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.
    19. L. Ingber & D.D. Sworder, 1991. "Statistical mechanics of combat with human factors," Lester Ingber Papers 91ch, Lester Ingber.
    20. 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.
    21. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    22. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
    23. L. Ingber, 1984. "Statistical mechanics of neocortical interactions. Derivation of short-term-memory capacity," Lester Ingber Papers 84ni, Lester Ingber.
    24. 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.
    25. 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.
    26. L. Ingber, 1989. "Mathematical comparison of JANUS(T) simulation to National Training Center," Lester Ingber Papers 89mj, Lester Ingber.
    27. 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.
    28. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
    29. L. Ingber, 1983. "Statistical mechanics of neocortical interactions. Dynamics of synaptic modification," Lester Ingber Papers 83ni, Lester Ingber.
    30. L. Ingber, 1986. "Riemannian contributions to short-ranged velocity-dependent nucleon-nucleon interactions," Lester Ingber Papers 86rc, Lester Ingber.
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
    2. L. Ingber & D.D. Sworder, 1991. "Statistical mechanics of combat with human factors," Lester Ingber Papers 91ch, Lester Ingber.
    3. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
    4. L. Ingber, 1992. "Generic mesoscopic neural networks based on statistical mechanics of neocortical interactions," Lester Ingber Papers 92gm, Lester Ingber.
    5. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
    6. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    7. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
    8. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
    9. L. Ingber, 1994. "Statistical mechanics of neocortical interactions: Path-integral evolution of short-term memory," Lester Ingber Papers 94ni, Lester Ingber.
    10. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
    11. L. Ingber, 1986. "Nonlinear nonequilibrium statistical mechanics approach to C3 systems," Lester Ingber Papers 86nn, Lester Ingber.
    12. 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.
    13. Berardi, Andrea, 1995. "Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach," Ricerche Economiche, Elsevier, vol. 49(1), pages 51-74, March.
    14. L. Ingber, 1985. "Statistical mechanics algorithm for response to targets (SMART)," Lester Ingber Papers 85ar, Lester Ingber.
    15. M. Bowman & L. Ingber, 1997. "Canonical momenta of nonlinear combat," Lester Ingber Papers 97cm, Lester Ingber.
    16. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
    17. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    18. L. Ingber, 1986. "Noise-induced extrema in time-dependent Ginsburg-Landau systems," Lester Ingber Papers 86gl, Lester Ingber.
    19. L. Ingber, 1985. "Statistical mechanics of neocortical interactions. EEG dispersion relations," Lester Ingber Papers 85ni, Lester Ingber.
    20. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    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:lei:ingber:91as. See general information about how to correct material in RePEc.

    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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.