Financial Informatics: An Information-Based Approach to Asset Pricing (Hardcover)

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Financial Informatics: An Information-Based Approach to Asset Pricing Cover Image
By Dorje C. Brody (Editor), Lane Palmer Hughston (Editor), Andrea Macrina (Editor)


The Brody-Hughston-Macrina approach to information-based asset pricing introduces a new way of looking at the mechanisms determining price movements in financial markets. The resulting theory of financial informatics is applicable across a wide range of asset classes and is distinguished by its emphasis on the explicit modelling of market information flows. In the BHM theory, each asset is defined by a collection of cash flows and each such cash flow is associated with a family of one or more so-called information processes that provide partial information about the cash flow. The theory is highly appealing on an intuitive basis: it is directly applicable to trading, investment and risk management -- and yet at the same time leads to interesting mathematics. The present volume brings together a collection of 18 foundational papers of the subject by Brody, Hughston, and Macrina, many written in collaboration with various co-authors. There is a preface summarizing the current status of the theory, together with a brief history and bibliography of the subject. This book will be of great interest both to newcomers to financial mathematics as well as to established researchers in the subject.
Product Details
ISBN: 9789811246487
ISBN-10: 9811246483
Publisher: World Scientific Publishing Company
Publication Date: February 21st, 2022
Pages: 425
Language: English