Lévy information and the aggregation of risk aversion
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Publication:2831278
DOI10.1098/rspa.2013.0024zbMath1348.91116arXiv1301.2964OpenAlexW3104948240WikidataQ62272435 ScholiaQ62272435MaRDI QIDQ2831278
Lane P. Hughston, Dorje C. Brody
Publication date: 2 November 2016
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, Financial Informatics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.2964
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Economics of information (91B44) Financial markets (91G15)
Cites Work
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