28 citations · 35 across the 2 of their papers we have counts for
2 papers
q-fin.PR2011★ 28 cited
General Theory of Geometric Lévy Models for Dynamic Asset Pricing
Dorje C. Brody, Lane P. Hughston, Ewan Mackie
The geometric Lévy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such mode…
q-fin.PR2010★ 7 cited
Rational term structure models with geometric Levy martingales
Dorje C. Brody, Lane P. Hughston, Ewan Mackie
In the "positive interest" models of Flesaker-Hughston, the nominal discount bond system is determined by a one-parameter family of positive martingales. In the present paper we ex…