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

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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A filtering approach to pricing in multifactor term structure models

We present an approach for pricing of illiquid bonds (and bond derivatives) in an arbitrage-free way and consistently with observed prices of liquid bonds. The basic model is a multifactor term structure model with abstract latent factors. The approach is based on stochastic filtering techniques, leading to a continuous update of the distribution of the latent factors on the basis of the inform...

A ltering approach to pricing in multifactor term structure models

We present an approach for pricing of illiquid bonds (and bond derivatives) in an arbitrage-free way and consistently with observed prices of liquid bonds. The basic model is a multifactor term structure model with abstract latent factors. The approach is based on stochastic ltering techniques, leading to a continuous update of the distribution of the latent factors on the basis of the informat...

The Methodology of Statistical Mechanics 4.1 Introduction

We now will apply the tools and concepts of thermodynamics and probability which we introduced in Chapters 2 and 3 to relate the microscopic and macroscopic descriptions of thermal systems. In so doing we will develop the formalism of statistical mechanics. To make explicit the probabilistic assumptions and the type of calculations that are done in statistical mechanics we first discuss an isol...

Models in Statistical Mechanics †