401 citations · 1.2k across the 62 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
Classical fields as statistical states
Dorje C. Brody, Lane P. Hughston
We present a rough outline for an idea that characterises the observed, macroscopic realisation of the electromagnetic field in terms of a probability distribution on the underlyin…
Nonlinearity and constrained quantum motion
Dorje C. Brody, Anna C. T. Gustavsson, Lane P. Hughston
The dynamical equation satisfied by the density matrix, when a quantum system is subjected to one or more constraints arising from conserved quantities, is derived. The resulting n…
Metric approach to quantum constraints
Dorje C. Brody, Anna C. T. Gustavsson, Lane P. Hughston
A new framework for deriving equations of motion for constrained quantum systems is introduced, and a procedure for its implementation is outlined. In special cases the framework r…