Financial Informatics: An Information-based Approach To Asset Pricing
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Asset Price Dynamics
Asset Pricing
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B01=Andrea Macrina
B01=Dorje C Brody
B01=Lane Palmer Hughston
Bond Portfolio
Bonds
Brownian Bridge
Brownian Motion
Category1=Non-Fiction
Category=KFF
Change of Measure
Collateralized Debt Obligation
Commodities
COP=Singapore
Credit Risk
Default
Delivery_Delivery within 10-20 working days
Discount Bond
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equities
Fake News
Filtration
Financial Markets
Financial Mathematics
Gamma Bridge
Heat Kernel
Informatics
Information Flow
Information Process
Informed Traders
Insurance
Insurance Claims
LAfA(C)vy Information
LAfA(C)vy Process
LAfA(C)vy Random Bridge
Language_English
Levy Information
Levy Process
Levy Random Bridge
Lévy Information
Lévy Process
Lévy Random Bridge
Markov Bridge
Markov Process
Mathematical Finance
Option Pricing
Ornstein-Uhlenbeck Process
PA=Available
Price_€100 and above
Pricing Kernel
PS=Active
Reinsurance
Signal Processing
softlaunch
Stochastic Modelling
Stochastic Volatility
Variance Gamma Process
Product details
- ISBN 9789811246487
- Publication Date: 21 Feb 2022
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
- Language: English
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The Brody-Hughston-Macrina approach to information-based asset pricing introduces a new way of looking at the mechanisms determining price movements in financial markets. The resulting theory of financial informatics is applicable across a wide range of asset classes and is distinguished by its emphasis on the explicit modelling of market information flows. In the BHM theory, each asset is defined by a collection of cash flows and each such cash flow is associated with a family of one or more so-called information processes that provide partial information about the cash flow. The theory is highly appealing on an intuitive basis: it is directly applicable to trading, investment and risk management — and yet at the same time leads to interesting mathematics. The present volume brings together a collection of 18 foundational papers of the subject by Brody, Hughston, and Macrina, many written in collaboration with various co-authors. There is a preface summarizing the current status of the theory, together with a brief history and bibliography of the subject. This book will be of great interest both to newcomers to financial mathematics as well as to established researchers in the subject.
