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

DOI10.1016/0895-7177(91)90107-IMaRDI QIDQ1197724zbMATH OpenOpenAlexWikidataFDO

Authors Lester Ingber, Michael F. Wehner, George M. Jabbour, Theodore M. Barnhill

Publication date 16 January 1993

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(91)90107-i

zbMATH Keywords

statistical mechanicsnumerical techniques\(n\)-factor nonlinear modelspath-integral methodologies

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• scientific article; zbMATH DE number 3941846 (Why is no real title available?)
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• scientific article; zbMATH DE number 3796268 (Why is no real title available?)
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• Short derivation of Feynman Lagrangian for general diffusion processes
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• Statistical mechanics of nonlinear nonequilibrium financial markets
• Very fast simulated re-annealing

Cited in

(10)

• Statistical mechanics of neocortical interactions: training and testing canonical momenta indicators of EEG
• Path-integral calculation of multivariate Fokker-Planck systems
• Genetic algorithms and very fast simulated reannealing: A comparison
• Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• Metaheuristics: A bibliography
• Volatility of volatility of financial markets
• Simulated annealing: Practice versus theory
• Path-integral evolution of chaos embedded in noise: Duffing neocortical analog
• Data mining and knowledge discovery via statistical mechanics in nonlinear stochastic systems

Describes a project that uses

Uses Software

• Algorithm 500

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