Found 19 Documents (Results 1–19)
On the pricing of storable commodities. (English) Zbl 1489.91279
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 393-404 (2022).
Pricing with variance gamma information. (English) Zbl 1489.91283
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 371-392 (2022).
Heat kernel interest rate models with time-inhomogeneous Markov processes. (English) Zbl 1489.91274
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 179-193 (2022).
Modelling information flows in financial markets. (English) Zbl 1489.91248
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 157-177 (2022).
Lévy random bridges and the modelling of financial information. (English) Zbl 1489.91263
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 127-155 (2022).
Credit risk, market sentiment and randomly-timed default. (English) Zbl 1489.91294
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 113-126 (2022).
Informed traders. (English) Zbl 1489.91247
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 87-106 (2022).
Beyond hazard rates: a new framework for credit-risk modelling. (English) Zbl 1489.91292
Brody, Dorje (ed.) et al., Financial informatics. An information-based approach to asset pricing. Singapore: World Scientific. 1-27 (2022).
Information-based model with noisy anticipation and its application in finance. (English) Zbl 1418.91219
MSC:
91B25
91G80
Pricing of defaultable bonds with random information flow. (English) Zbl 1396.91215
MSC:
91B25
91G20
Continuous equilibrium in affine and information-based capital asset pricing models. (English) Zbl 1298.91090
MSC:
91B25
91G20
Heat kernel interest rate models with time-inhomogeneous Markov processes. (English) Zbl 1238.91133
Reviewer: Johannes Muhle-Karbe (Zürich)
Conditional density models for asset pricing. (English) Zbl 1244.91090
Reviewer: Henryk Gzyl (Caracas)
MSC:
91G20
Modelling information flows in financial markets. (English) Zbl 1283.91070
Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 133-153 (2011).
Reviewer: Yuliya S. Mishura (Kyïv)
Credit risk, market sentiment and randomly-timed default. (English) Zbl 1219.91147
Crisan, Dan (ed.), Stochastic analysis 2010. Selected papers based on the presentations at the 7th congress of the International Society for Analysis, its Applications and Computations, London, GB, July 2009. Berlin: Springer (ISBN 978-3-642-15357-0/hbk; 978-3-642-15358-7/ebook). 267-280 (2011).
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