Zobrazeno 1 - 10
of 203
pro vyhledávání: '"HUGHSTON, LANE P."'
As an introduction to a Special Issue of International Journal of Theoretical and Applied Finance in Honour of the Memory of Thomas Robert Hurd we present a brief synopsis of Tom Hurd's scientific career and a bibliography of his scientific publicati
Externí odkaz:
http://arxiv.org/abs/2408.16891
Autor:
Brody, Dorje C., Hughston, Lane P.
It is shown that if the wave function of a quantum system undergoes an arbitrary random transformation such that the diagonal elements of the density matrix in the decoherence basis associated with a preferred observable remain constant, then (i) the
Externí odkaz:
http://arxiv.org/abs/2402.16740
We consider a rational agent who at time $0$ enters into a financial contract for which the payout is determined by a quantum measurement at some time $T>0$. The state of the quantum system is given in the Heisenberg representation by a known density
Externí odkaz:
http://arxiv.org/abs/2305.10239
Autor:
Boland, Jeffrey R., Hughston, Lane P.
Equal temperament, in which semitones are tuned in the irrational ratio of $2^{1/12} : 1$, is best seen as a serviceable compromise, sacrificing purity for flexibility. Just intonation, in which intervals are given by products of powers of $2$, $3$,
Externí odkaz:
http://arxiv.org/abs/2208.04974
Autor:
Brody, Dorje C., Hughston, Lane P.
Recently there has been much progress in the development of stochastic models for state reduction in quantum mechanics. In such models, the collapse of the wave function is a physical process, governed by a nonlinear stochastic differential equation
Externí odkaz:
http://arxiv.org/abs/2207.12241
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a security that
Externí odkaz:
http://arxiv.org/abs/2201.08875
Autor:
Brody, Dorje C., Hughston, Lane P.
The phase space of a relativistic system can be identified with the future tube of complexified Minkowski space. As well as a complex structure and a symplectic structure, the future tube, seen as an eight-dimensional real manifold, is endowed with a
Externí odkaz:
http://arxiv.org/abs/2011.11541
Autor:
Bouzianis, George, Hughston, Lane P.
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of a L\'evy-I
Externí odkaz:
http://arxiv.org/abs/2006.12989
In the information-based pricing framework of Brody, Hughston and Macrina, the market filtration $\{ \mathcal F_t\}_{t\geq 0}$ is generated by an information process $\{ \xi_t\}_{t\geq0}$ defined in such a way that at some fixed time $T$ an $\mathcal
Externí odkaz:
http://arxiv.org/abs/2003.07967
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is associated with
Externí odkaz:
http://arxiv.org/abs/1907.08499