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- Lane P. Hughston, Avraam Rafailidis
- Finance and Stochastics
- 2005

This paper presents a new approach to interest rate dynamics. We consider the general family of arbitrage-free positive interest rate models, valid on all time horizons, in the case of a discount bond system driven by a Brownian motion of one or more dimensions. We show that the space of such models admits a canonical mapping to the space of… (More)

The manifold of pure quantum states can be regarded as a complex projective space endowed with the unitary-invariant Riemannian geometry of Fubini and Study. According to the principles of geometric quantum mechanics, the detailed physical characteristics of a given quantum system can be represented by specific geometrical features that are selected and… (More)

- Dorje C. Brody, Lane P. Hughston, Andrea Macrina
- 2006

A new approach to credit risk modelling is introduced that avoids the use of inaccessible stopping times. Default events are associated directly with the failure of obligors to make contractually agreed payments. Noisy information about impending cash flows is available to market participants. In this framework the market filtration is modelled explicitly,… (More)

A statistical model M is a family of probability distributions, characterised by a set of continuous parameters known as the parameter space. This possesses natural geometrical properties induced by the embedding of the family of probability distributions into the space of all square-integrable functions. More precisely, by consideration of the square-root… (More)

An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information… (More)

We examine the geometry of the state space of a relativistic quantum eld. The mathematical tools used involve complex algebraic geometry and Hilbert space theory. We consider the KK ahler geometry of the state space of any quantum eld theory based on a linear classical eld equation. The state space is viewed as an innnite dimensional complex projective… (More)

The purpose of this paper is to present a model of a 'quantum space-time' in which the global symmetries of space-time are unified in a coherent manner with the internal symmetries associated with the state space of quantum-mechanics. If we take into account the fact that these distinct families of symmetries should in some sense merge and become… (More)

- Dorje C. Brody, Lane P. Hughston, Andrea Macrina
- 2010

This paper presents an overview of information-based asset pricing. In the information-based approach, an asset is defined by its cash-flow structure. The market is assumed to have access to " partial " information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The market filtration is… (More)

- Edward Hoyle, Lane P. Hughston, Andrea Macrina
- 2010

We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Taking a Bayesian approach to the reserving problem, we derive the process of the conditional distribution of the ultimate loss. The 'best-estimate ultimate loss… (More)