Information of interest

DOI10.1142/9789811246494_0005MaRDI QIDQ5072617zbMATH OpenOpenAlexFDO

Authors Dorje C. Brody, Robyn L. Friedman

Publication date 29 April 2022

Published in Financial Informatics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.0072

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is determined by prices of certain weighted perpetual annuities. Pricing formulae for interest rate derivatives are derived.

Recommendations

• Pricing fixed-income securities in an information-based framework
• Interest rate term structure modelling
• Liquidity risk and the term structure of interest rates
• Determining the term structure of interest rates
• A theory of the term structure of interest rates

Cited in

(2)

• On information links
• Useful information and questionnaires

This page was built for publication: Information of interest

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5072617)