Securities Pricing with Information-Sensitive Discounting
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References listed on IDEAS
- Lane P. Hughston & Andrea Macrina, 2009. "Pricing Fixed-Income Securities in an Information-Based Framework," Papers 0911.1610, arXiv.org, revised Apr 2010.
- Jirô Akahori & Andrea Macrina, 2012.
"Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
- Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters,in: Finance at Fields, chapter 1, pages 1-15 World Scientific Publishing Co. Pte. Ltd..
- Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
- Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
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More about this item
KeywordsAsset pricing; incomplete information; stochastic interest rates; credit risk; recovery models; credit-inflation hybrid securities; information-sensitive pricing kernels;
NEP fieldsThis paper has been announced in the following NEP Reports:
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