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Statistical Mechanics in Term Structure Models by Lester Ingber is a document available to read on EtoBox.
What is Statistical Mechanics in Term Structure Models about?
This document describes the application of statistical mechanical techniques like very fast simulated re-annealing (VFSR) and path-integral methods to estimate parameters for term structure models of bond pricing. These techniques allow for estimation of nonlinear multi-factor models and consideration of constraints like boundary conditions. The document focuses on applying these methods to estimate the two-factor Brennan-Schwartz model of short and long-term interest rates as stochastic processes.
- Author
- Lester Ingber
- Language
- EN