Lévy random bridges and the modelling of financial information

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

zbMATH Keywords

Lévy processesoption pricinginformation-based asset pricingLévy bridgesnon-linear filtering theory

Mathematics Subject Classification ID

Related Items (25)

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

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