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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…
Asset pricing with random information flow
Dorje C. Brody, Yan Tai Law
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noi…
Credit Risk, Market Sentiment and Randomly-Timed Default
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market partic…
Modelling Information Flows in Financial Markets
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "parti…