Entropy and information in the interest rate term structure
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Publication:4646771
DOI10.1088/1469-7688/2/1/306zbMATH Open1405.91660OpenAlexW2167922634MaRDI QIDQ4646771FDOQ4646771
Authors: Dorje C. Brody, Lane P. Hughston 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/1/306
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Cited In (12)
- Interest rates and information geometry
- Preposterior analysis for option pricing
- What happens after a default: the conditional density approach
- A permutation information theory tour through different interest rate maturities: the Libor case
- Calibration of short rate term structure models from bid-ask coupon bond prices
- Gaussian random bridges and a geometric model for information equilibrium
- Social discounting and the long rate of interest
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- Ab initio yield curve dynamics
- Asymmetric short-rate model without lower bound
- Entropic calibration revisited
- Fisher information and equilibrium distributions in econophysics
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