Lane P. Hughston

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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)
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)
Lévy processes, which have stationary independent increments, are ideal for modelling the various types of noise that can arise in communication channels. If a Lévy process admits exponential moments, then there exists a parametric family of measure changes called Esscher transformations. If the parameter is replaced with an independent random variable, the(More)
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)
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)
A generalised equivalence principle is put forward according to which space-time symmetries and internal quantum symmetries are indistinguishable before symmetry breaking. Based on this principle, a higher-dimensional extension of Minkowski space is proposed and its properties examined. In this scheme the structure of space-time is intrinsically quantum(More)
A closed-form solution to the energy-based stochastic Schrödinger equation with a time-dependent coupling is obtained. The solution is algebraic in character, and is expressed directly in terms of independent random data. The data consist of (i) a random variable H which has the distribution P(H = E i) = π i , where π i is the transition probability |ψ 0 |φ(More)