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Financial Informatics: An Information-Based Approach to Asset Pricing (in English)
Dorje C. Brody
(Illustrated by)
·
Lane Palmer Hughston
(Illustrated by)
·
Andrea Macrina
(Illustrated by)
·
World Scientific Publishing Company
· Hardcover
Financial Informatics: An Information-Based Approach to Asset Pricing (in English) - Brody, Dorje C. ; Hughston, Lane Palmer ; Macrina, Andrea
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Synopsis "Financial Informatics: An Information-Based Approach to Asset Pricing (in English)"
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.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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