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Название: Financial Informatics: An Information-based Approach to Asset Pricing Автор: Editors: Dorje Brody, Lane Hughston, Andrea Macrina Издательство: World Scientific Publishing Год: 2022 Страниц: 444 Размер: 36.86 МБ Формат: PDF Язык: 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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Автор: ak5812 1-05-2022, 08:54 | Напечатать |
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Machine Learning in Asset Pricing Название: Machine Learning in Asset Pricing Автор: Stefan Nagel Издательство: Princeton University Press Год: 2021 Страниц: 157 Язык: английский... |
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