European University Institute Library

Financial informatics, an information-based approach to asset pricing, editors, Dorje Brody, Lane Hughston, Andrea Macrina

eng

Includes bibliographical references and index

index present

non fiction

Financial informatics

bibliography

1264139206

editors, Dorje Brody, Lane Hughston, Andrea Macrina

an information-based approach to asset pricing

"He 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"--, Provided by publisher