Financial informatics: an information-based approach to asset pricing
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| Other Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
New Jersey ; London ; Singapore
World Scientific
[2022]
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xx, 423 Seiten Illustrationen, Diagramme |
| ISBN: | 9789811246487 |
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MARC
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Record in the Search Index
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| adam_text | Contents Preface About the Editors Chapter 1 v xvii Beyond Hazard Rates: A New Framework for Credit-RiskModelling Dorfe C. Brody, Lane P. Hughston and Andrea Maorina 1 Chapter 2 Information-BasedAsset Pricing Dorfe C. Brody, Lane P. Hughston and Andrea Maorina 29 Chapter 3 Dam Rain and Cumulative Gain Dorje C. Brody, Lane P. Hughston and Andrea Maorina 65 Chapter 4 Informed Traders Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman and Lane P. Hughston 87 Chapter 5 Information of Interest Dorje C. Brody and Robyn L. Friedman Chapter 6 Credit Risk, Market Sentiment and Randomly-Timed Default Dorje C. Brody, Lane P. Hughston and Andrea Maorina Chapter 7 Lévy Random Bridges and the Modelling of Financial Information Edward Hoyle, Lane P. Hughston and Andrea Maorina XIX 107 113 127
XX Financial Informatics: An Information-Based Approach to Asset Pricing Chapter 8 Modelling Information Flows in Financial Markets Dorje C. Brody, Lane P. Hughston and Andrea Maorina Chapter 9 Heat Kernel Interest Rate Models with TimeInhomogeneous Markov Processes Jirô Akahori and Andrea Maorina 179 Lévy Information and the Aggregation of Risk Aversion Dorje C. Brody and Lane P. Hughston 195 Chapter 10 157 Chapter 11 Signal Processing with Lévy Information Dorje C. Brody, Lane P. Hughston and Xun Yang 215 Chapter 12 Heat Kernel Models for Asset Pricing Andrea Maorina 237 Chapter 13 Randomized Mixture Models for Pricing Kernels Andrea Maorina and Priyanka A. Parbhoo 271 Chapter 14 Stochastic Modelling with Randomized Markov Bridges Andrea Maorina and Jun Sekine 307 Chapter 15 Modulated Information Flows in Financial Markets Edward Hoyle, Andrea Maorina and Levent Ali Mengütürk 335 Chapter 16 Pricing with Variance Gamma Information Lane P. Hughston and Leandro Sánchez-Betancourt 371 Chapter 17 On the Pricing of Storable Commodities Dorje C. Brody, Lane P. Hughston and Xun Yang 393 Chapter 18 Mathematical Models for Fake News Dorje C. Brody and David M. Meier 405
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| adam_txt |
Contents Preface About the Editors Chapter 1 v xvii Beyond Hazard Rates: A New Framework for Credit-RiskModelling Dorfe C. Brody, Lane P. Hughston and Andrea Maorina 1 Chapter 2 Information-BasedAsset Pricing Dorfe C. Brody, Lane P. Hughston and Andrea Maorina 29 Chapter 3 Dam Rain and Cumulative Gain Dorje C. Brody, Lane P. Hughston and Andrea Maorina 65 Chapter 4 Informed Traders Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman and Lane P. Hughston 87 Chapter 5 Information of Interest Dorje C. Brody and Robyn L. Friedman Chapter 6 Credit Risk, Market Sentiment and Randomly-Timed Default Dorje C. Brody, Lane P. Hughston and Andrea Maorina Chapter 7 Lévy Random Bridges and the Modelling of Financial Information Edward Hoyle, Lane P. Hughston and Andrea Maorina XIX 107 113 127
XX Financial Informatics: An Information-Based Approach to Asset Pricing Chapter 8 Modelling Information Flows in Financial Markets Dorje C. Brody, Lane P. Hughston and Andrea Maorina Chapter 9 Heat Kernel Interest Rate Models with TimeInhomogeneous Markov Processes Jirô Akahori and Andrea Maorina 179 Lévy Information and the Aggregation of Risk Aversion Dorje C. Brody and Lane P. Hughston 195 Chapter 10 157 Chapter 11 Signal Processing with Lévy Information Dorje C. Brody, Lane P. Hughston and Xun Yang 215 Chapter 12 Heat Kernel Models for Asset Pricing Andrea Maorina 237 Chapter 13 Randomized Mixture Models for Pricing Kernels Andrea Maorina and Priyanka A. Parbhoo 271 Chapter 14 Stochastic Modelling with Randomized Markov Bridges Andrea Maorina and Jun Sekine 307 Chapter 15 Modulated Information Flows in Financial Markets Edward Hoyle, Andrea Maorina and Levent Ali Mengütürk 335 Chapter 16 Pricing with Variance Gamma Information Lane P. Hughston and Leandro Sánchez-Betancourt 371 Chapter 17 On the Pricing of Storable Commodities Dorje C. Brody, Lane P. Hughston and Xun Yang 393 Chapter 18 Mathematical Models for Fake News Dorje C. Brody and David M. Meier 405 |
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| index_date | 2024-07-03T19:24:52Z |
| indexdate | 2024-07-10T09:24:16Z |
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| isbn | 9789811246487 |
| language | English |
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| physical | xx, 423 Seiten Illustrationen, Diagramme |
| publishDate | 2022 |
| publishDateSearch | 2022 |
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| publisher | World Scientific |
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| spelling | Financial informatics an information-based approach to asset pricing editors Dorje Brody (Department of Mathematics, University of Surrey), Lane Hughston (Department of Computing, Goldsmiths University of London), Andrea Macrina (Department of Mathematics, University College London) New Jersey ; London ; Singapore World Scientific [2022] xx, 423 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Informationsverarbeitung (DE-588)4161678-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Preisentwicklung (DE-588)4125931-2 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditmarkt (DE-588)4073788-3 s Preisentwicklung (DE-588)4125931-2 s Finanzanalyse (DE-588)4133000-6 s Informationsverarbeitung (DE-588)4161678-9 s Finanzmathematik (DE-588)4017195-4 s b DE-604 Brody, Dorje (DE-588)1255679719 edt Hughston, Lane P. 1951- (DE-588)123580595 edt Macrina, Andrea (DE-588)1255679840 edt Erscheint auch als Online-Ausgabe 978-981-1246-49-4 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033269415&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Financial informatics an information-based approach to asset pricing Informationsverarbeitung (DE-588)4161678-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzanalyse (DE-588)4133000-6 gnd Preisentwicklung (DE-588)4125931-2 gnd Kreditmarkt (DE-588)4073788-3 gnd |
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| title | Financial informatics an information-based approach to asset pricing |
| title_auth | Financial informatics an information-based approach to asset pricing |
| title_exact_search | Financial informatics an information-based approach to asset pricing |
| title_exact_search_txtP | Financial informatics an information-based approach to asset pricing |
| title_full | Financial informatics an information-based approach to asset pricing editors Dorje Brody (Department of Mathematics, University of Surrey), Lane Hughston (Department of Computing, Goldsmiths University of London), Andrea Macrina (Department of Mathematics, University College London) |
| title_fullStr | Financial informatics an information-based approach to asset pricing editors Dorje Brody (Department of Mathematics, University of Surrey), Lane Hughston (Department of Computing, Goldsmiths University of London), Andrea Macrina (Department of Mathematics, University College London) |
| title_full_unstemmed | Financial informatics an information-based approach to asset pricing editors Dorje Brody (Department of Mathematics, University of Surrey), Lane Hughston (Department of Computing, Goldsmiths University of London), Andrea Macrina (Department of Mathematics, University College London) |
| title_short | Financial informatics |
| title_sort | financial informatics an information based approach to asset pricing |
| title_sub | an information-based approach to asset pricing |
| topic | Informationsverarbeitung (DE-588)4161678-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzanalyse (DE-588)4133000-6 gnd Preisentwicklung (DE-588)4125931-2 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Informationsverarbeitung Finanzmathematik Finanzanalyse Preisentwicklung Kreditmarkt Aufsatzsammlung |
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