14 citations · 14 across the 4 of their papers we have counts for
4 papers
Ab initio yield curve dynamics
Raymond J. Hawkins, B. Roy Frieden, Joseph L. D'Anna
We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, so…
Financial Probabilities from Fisher Information
Raymond J. Hawkins, B. Roy Frieden
We present a novel synthesis of Fisher information and asset pricing theory that yields a practical method for reconstructing the probability density implicit in security prices. T…
Corporate Default Behavior: A Simple Stochastic Model
Ting Lei, Raymond J. Hawkins
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corpora…
Relaxation Processes in Administered-Rate Pricing
Raymond J. Hawkins, Michael R. Arnold
We show how a novel application of the theory of anelasticity unifies the observed dynamics and proposed models of administered-rate products. This theory yields a straightforward…