Publication:544493: Difference between revisions
From MaRDI portal
Publication:544493
Created automatically from import240129110113 |
EloiFerrer (talk | contribs) m EloiFerrer moved page Lévy random bridges and the modelling of financial information to Lévy random bridges and the modelling of financial information: Duplicate |
(No difference)
|
Latest revision as of 14:24, 29 April 2024
DOI10.1016/j.spa.2010.12.003zbMath1225.60079arXiv0912.3652OpenAlexW1973993702MaRDI QIDQ544493
Edward Hoyle, Andrea Macrina, Lane P. Hughston, Edward Hoylea
Publication date: 15 June 2011
Published in: Stochastic Processes and their Applications, Financial Informatics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.3652
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)
Related Items
Approximation and simulation of infinite-dimensional Lévy processes, On a Lévy process pinned at random time, Brownian bridge with random length and pinning point for modelling of financial information, Gaussian random bridges and a geometric model for information equilibrium, The Markov consistency of Archimedean survival processes, HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES, Stochastic modelling with randomized Markov bridges, HEAT KERNEL MODELS FOR ASSET PRICING, From irrevocably modulated filtrations to dynamical equations over random networks, On Doob h-transformations for finite-time quantum state reduction, Continuous equilibrium in affine and information-based capital asset pricing models, Forward or backward simulation? A comparative study, Generalised liouville processes and their properties, Stochastic sequential reduction of commutative Hamiltonians, Rational Models for Inflation-Linked Derivatives, MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS, Capital allocation for portfolios with non-linear risk aggregation, Simulation of Tempered Stable Lévy Bridges and Its Applications, Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities, Stochastic Schrödinger evolution over piecewise enlarged filtrations, Generalized Gaussian bridges, Lévy information and the aggregation of risk aversion, Conditioned point processes with application to Lévy bridges, Rational multi-curve models with counterparty-risk valuation adjustments, Rational term structure models with geometric Lévy martingales
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Making Markov martingales meet marginals: With explicit constructions
- Some parametric models on the simplex
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Path transformations of first passage bridges
- A parallel between Brownian bridges and gamma bridges
- The financial value of a weak information on a financial market
- Multivariate Liouville distributions. IV
- Incomplete markets with jumps and informed agents
- Randomised mixture models for pricing kernels
- Probing option prices for information
- INFORMATION-BASED ASSET PRICING
- Information, Inflation, and Interest
- Equivalent martingale measures for bridge processes
- The History of the Dirichlet and Liouville Distributions
- Dam rain and cumulative gain
- Stable-1/2 bridges and insurance
- AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
- Pricing Fixed-Income Securities in an Information-Based Framework
- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
- Dequantization of the Dirac monopole