A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the corresponding price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can...

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price process is driven by Brownian motion, an associated "master...

The information-based asset-pricing framework of Brody-Hughston-Macrina (BHM) is extended to include a wider class of models for market information. To model the information flow, we introduce a class of processes called Lévy random bridges (LRBs), generalising the Brownian bridge and gamma...

The purpose of this article is to introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous-time processes that describe the flow of information concerning market factors in a monetary economy. The nominal pricing kernel is assumed...

Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise value, the resulting quantity defines a...

Bayes criteria are explicitly applied to statistical decision problems in simple quantum mechanical systems. The minimum Bayes cost is calculated for systems including polarised spins and relativistic spin 12 particles. The results suggest that, in decisions for a given ensemble of particles, on...