401 citations · 1.2k across the 62 of their papers we have counts for
8 papers · 1 filter
Brief Synopsis of the Scientific Career of T. R. Hurd
Matheus R. Grasselli, Lane P. Hughston
As an introduction to a Special Issue of International Journal of Theoretical and Applied Finance in Honour of the Memory of Thomas Robert Hurd we present a brief synopsis of Tom H…
Information-Based Trading
George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make…
Optimal Hedging in Incomplete Markets
George Bouzianis, Lane P. Hughston
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usua…
Pricing with Variance Gamma Information
Lane P. Hughston, Leandro Sánchez-Betancourt
In the information-based pricing framework of Brody, Hughston and Macrina, the market filtration is generated by an information process $\{ ξ_t\}_{t\g…
Lévy-Ito Models in Finance
George Bouzianis, Lane P. Hughston, Sebastian Jaimungal +1
We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an -dimensional Brownian motion and an independent P…
Theory of Cryptocurrency Interest Rates
Dorje C. Brody, Lane P. Hughston, Bernhard K. Meister
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are w…