Pricing Fixed-Income Securities in an Information-Based Framework

DOI10.1080/1350486X.2011.631757zbMath1372.91109arXiv0911.1610MaRDI QIDQ5363206

Andrea Macrina, Lane P. Hughston

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.1610

zbMATH Keywords

nonlinear filteringincomplete informationinterest rate theoryfixed-income securitiesinflation-linked securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

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