188 citations · 1.1k across the 44 of their papers we have counts for
Showing cond-mat.otherShow all
2 papers · 1 filter
cond-mat.other2004
Modelling the term structure of interest rates á la Heath-Jarrow-Morton but with non Gaussian fluctuations
Przemyslaw Repetowicz, Brian Lucey, Peter Richmond
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a genera…
cond-mat.other2004★ 103 cited
Dynamics of Money and Income Distributions
Przemyslaw Repetowicz, Stefan Hutzler, Peter Richmond
We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are develope…