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Lane P. Hughston

14 works· latest 2012· 3 institutionscluster: provisionalORCID 0000-0003-1185-934X

h-index13

i1014

Citations962

Works here14

Most cited in this library

Chaos and coherence: a new framework for interest–rate modelling2004 · 99 citations
INFORMATION-BASED ASSET PRICING2008 · 95 citations
Interest Rates and Information Geometry2001 · 95 citations
A chaotic approach to interest rate modelling2004 · 89 citations
Lévy random bridges and the modelling of financial information2010 · 88 citations

Works

14 shown

General theory of geometric Lévy models for dynamic asset pricing

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2012·3 authors·Open access

30citations

CONDITIONAL DENSITY MODELS FOR ASSET PRICING

WORLD SCIENTIFIC eBooks·2012·3 authors·chapter·Open access

62citations

Lévy random bridges and the modelling of financial information

Stochastic Processes and their Applications·2010·3 authors·Open access

88citations

Informed traders

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2008·4 authors·Open access

33citations

Dam rain and cumulative gain

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2008·3 authors·Open access

57citations

INFORMATION-BASED ASSET PRICING

International Journal of Theoretical and Applied Finance·2008·3 authors

95citations

Beyond Hazard Rates: A New Framework for Credit-Risk Modelling

Applied and numerical harmonic analysis·2007·3 authors·chapter

68citations

A chaotic approach to interest rate modelling

Finance and Stochastics·2004·2 authors

89citations

Chaos and coherence: a new framework for interest–rate modelling

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2004·2 authors

99citations

Entropy and information in the interest rate term structure

Quantitative Finance·2002·2 authors

84citations

Interest rates and information geometry

Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2001·1 author·Open access

82citations

Interest Rates and Information Geometry

·2001·2 authors·preprint

95citations

International Models for Interest Rates and Foreign Exchange

Goldsmiths (University of London)·1997·2 authors

69citations

Taking All the Credit

Goldsmiths (University of London)·1994·1 author

11citations