4 citations · 6 across the 8 of their papers we have counts for
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q-fin.PR2009★ 1 cited
Discrete-Time Interest Rate Modelling
Lane P. Hughston, Andrea Macrina
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a lin…
q-fin.PR2008★ 4 cited
An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
Andrea Macrina
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each…