Zobrazeno 1 - 10
of 117
pro vyhledávání: '"Lane P. Hughston"'
Publikováno v:
Risks, Vol 8, Iss 4, p 105 (2020)
In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revea
Externí odkaz:
https://doaj.org/article/e966af67b832466babf144825e954b0c
Autor:
Dorje C Brody, Lane P Hughston
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af90a870c44644ce8046d30ade67c8bd
http://arxiv.org/abs/2207.12241
http://arxiv.org/abs/2207.12241
Publikováno v:
SIAM Journal on Financial Mathematics. 11:148-168
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous forward rates
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65f52d88bfe01bf425afbbd4d08175be
https://doi.org/10.1137/19m1263042
https://doi.org/10.1137/19m1263042
Publikováno v:
Applied and Numerical Harmonic Analysis ISBN: 9780817645441
A new approach to credit risk modelling is introduced that avoids the use of inaccessible stopping times. Default events are associated directly with the failure of obligors to make contractually agreed payments. Noisy information about impending cas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d511a92eeae65670d35f7b078f27663
https://doi.org/10.1142/9789811246494_0001
https://doi.org/10.1142/9789811246494_0001