Entropy and information in the interest rate term structure

DOI10.1088/1469-7688/2/1/306zbMath1405.91660MaRDI QIDQ4646771

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

zbMATH Keywords

entropy; information; interest rate term structure

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

94A17: Measures of information, entropy

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Preposterior analysis for option pricing, SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST, Ab initio yield curve dynamics, What happens after a default: the conditional density approach, Fisher information and equilibrium distributions in econophysics, Entropic calibration revisited

Cites Work

• Papers on probability, statistics and statistical physics. Ed. by R. D. Rosenkrantz
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• Interest rates and information geometry
• Interest Rate Dynamics and Consistent Forward Rate Curves
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Consistency problems for Heath-Jarrow-Morton interest rate models
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