Financial Informatics: An Information-Based Approach to Asset Pricing (Hardcover) (ISBN-13: 9789811246487)

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.

Author: Dorje C. Brody
ISBN-10: 9811246483
ISBN-13: 9789811246487
Publisher: World Scientific Publishing Company
Language: English
Published: 02/21/2022
Pages: 444
Format: Hardcover
Weight: 1.99lbs
Size: 9.61h x 6.69w x 1.00d