Brody, D C; Hughston, L P and Macrina, A, eds. 2022. Financial Informatics: An Information-Based Approach to Asset Pricing. Singapore: World Scientific Publishing Company. ISBN 9811246483; 9789811246487 [Edited Book]

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Abstract or Description

Publisher's description: The Brody-Hughston-Macrina approach to information-based asset pricing introduces a new way of looking at the mechanisms determining price movements in financial markets. The resulting theory of financial informatics is applicable across a wide range of asset classes and is distinguished by its emphasis on the explicit modelling of market information flows. In the BHM theory, each asset is defined by a collection of cash flows and each such cash flow is associated with a family of one or more so-called information processes that provide partial information about the cash flow. The theory is highly appealing on an intuitive basis: it is directly applicable to trading, investment and risk management ― and yet at the same time leads to interesting mathematics. The present volume brings together a collection of 18 foundational papers of the subject by Brody, Hughston, and Macrina, many written in collaboration with various co-authors. There is a preface summarizing the current status of the theory, together with a brief history and bibliography of the subject. This book will be of great interest both to newcomers to financial mathematics as well as to established researchers in the subject.

Item Type:	Edited Book
Identification Number (DOI):	https://doi.org/10.1142/12533
Keywords:	financial informatics, asset pricing, information, stochastic filtering, Bayesian, equity pricing, credit modelling, electioneering
Departments, Centres and Research Units:	Computing
Date:	1 February 2022
Item ID:	30967
Date Deposited:	05 Jan 2022 09:28
Last Modified:	14 Feb 2022 16:08
URI:	https://research.gold.ac.uk/id/eprint/30967

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