401 citations · 1.2k across the 62 of their papers we have counts for
5 papers · 1 filter
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…
Conditional Density Models for Asset Pricing
Damir Filipović, Lane P. Hughston, Andrea Macrina
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some s…
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…
Stable-1/2 Bridges and Insurance
Edward Hoyle, Lane P. Hughston, Andrea Macrina
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a prio…
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…