57 citations · 96 across the 22 of their papers we have counts for
Showing 2009Show all
3 papers · 1 filter
q-fin.GN2009
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…
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.PR2009★ 3 cited
Pricing Fixed-Income Securities in an Information-Based Framework
Lane P. Hughston, Andrea Macrina
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe…