Lévy information and the aggregation of risk aversion

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

zbMATH Keywords

asset pricingjump riskrisk aversionrisk premiumpricing kernelheterogeneous markets

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Economics of information (91B44) Financial markets (91G15)

Cites Work

• Lévy random bridges and the modelling of financial information
• Optimal investment under partial information
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• On the range of options prices
• Hyperbolic distributions in finance
• Trudinger inequalities without derivatives
• Diverse beliefs
• INFORMATION-BASED ASSET PRICING
• Option Pricing With V. G. Martingale Components¹
• ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS
• The Variance Gamma Process and Option Pricing
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• LÉVY SIMPLE STRUCTURAL MODELS
• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
• General theory of geometric Lévy models for dynamic asset pricing
• Pricing Fixed-Income Securities in an Information-Based Framework
• CONDITIONAL DENSITY MODELS FOR ASSET PRICING
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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