Pricing of Defaultable Bonds with Random Information Flow

DOI10.1080/1350486X.2015.1050151zbMath1396.91215arXiv1009.3810OpenAlexW1513892919MaRDI QIDQ4682487

Yan Tai Law, Dorje C. Brody

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.3810

zbMATH Keywords

stochastic volatilityinformation-based asset pricingprice manipulation

Mathematics Subject Classification ID

Cites Work

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• Informational inefficiency in financial markets
• INFORMATION-BASED ASSET PRICING
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Modelling Information Flows in Financial Markets
• Dequantization of the Dirac monopole

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