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Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 107-142

Persistent link: https://www.econbiz.de/10003692732

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10009562159

Heat kernel models for asset pricing

Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34

Persistent link: https://www.econbiz.de/10010498834

Noise, Risk Premium, and Bubble

Andruszkiewicz, Grzegorz; Brody, Dorje C. - 2011

The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that might be interpreted as the timing of future cash...

Persistent link: https://www.econbiz.de/10014185726