2 papers
physics.data-an2005
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…
cond-mat.stat-mech2003
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…