3 citations · 3 across the 4 of their papers we have counts for
6 papers
Generalised Liouville Processes and their Properties
Edward Hoyle, Levent Ali Mengütürk
We define a new family of multivariate stochastic processes over a finite time horizon that we call Generalised Liouville Processes (GLPs). GLPs are Markov processes constructed by…
Modulated Information Flows in Financial Markets
Edward Hoyle, Andrea Macrina, Levent A. Mengütürk
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge…
Archimedean Survival Processes
Edward Hoyle, Levent Ali Menguturk
Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Nešlehová (2009) showed that…
Information-based models for finance and insurance
Edward Hoyle
In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based…
Stable-1/2 Bridges and Insurance
Edward Hoyle, Lane P. Hughston, Andrea Macrina
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a prio…
Levy Random Bridges and the Modelling of Financial Information
Edward Hoyle, Lane P. Hughston, Andrea Macrina
The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each…