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...

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...

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } tÏ0 {Ft}tÏ0 is generated by an information process {ξ t } tÏ0 {ξt}tÏ0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...