APPLICATION OF STATISTICAL-MECHANICS METHODOLOGY TO TERM-STRUCTURE BOND-PRICING MODELS

被引：24

作者：

INGBER, L

WEHNER, MF

JABBOUR, GM

BARNHILL, TM

机构：

[1] GEORGE WASHINGTON UNIV,DEPT MATH,WASHINGTON,DC 20052

[2] UNIV CALIF LAWRENCE LIVERMORE NATL LAB,DIV B,LIVERMORE,CA 94550

[3] GEORGE WASHINGTON UNIV,DEPT BUSINESS ADM,WASHINGTON,DC 20052

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1991年 / 15卷 / 11期

关键词：

D O I：

10.1016/0895-7177(91)90107-I

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Recent work in statistical mechanics has developed new analytical and numerical techniques to solve coupled stochastic equations. This paper applies the very fast simulated re-annealing and path-integral methodologies to the estimation of the Brennan and Schwartz two-factor term structure model. It is shown that these methodologies can be utilized to estimate more complicated n-factor nonlinear models.

引用

页码：77 / 98

页数：22

共 60 条

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