57 citations · 96 across the 22 of their papers we have counts for
4 papers · 1 filter
Information, Inflation, and Interest
Lane P. Hughston, Andrea Macrina
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theo…
Dam Rain and Cumulative Gain
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and…
Information-Based Asset Pricing
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an…
Towards a Gauge Invariant Scattering Theory of Cylindrical Gravitational Waves
Andrea Macrina
In this account we investigate an asymptotically flat space-time geometry. In particular, we focus on a pure gravity model with cylindrical symmetry where no matter fields are incl…