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Lévy random bridges and the modelling of financial information · Study

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ArticleLévy random bridges and the modelling of financial information

Edward Hoyle2010

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Articlebronze2010

Lévy random bridges and the modelling of financial information

Edward Hoyle · Lane P. Hughston · Andrea Macrina

88 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985Continuous Auctions and Insider Trading 2003Financial Modelling with Jump Processes 1998Methods of Mathematical Finance 2004Stochastic Calculus for Finance II: Continuous-Time Models 1992Insider Trading in Continuous Time 1998Long-lived information and intraday patterns 2002Making Markov martingales meet marginals: with explicit constructions 2008INFORMATION-BASED ASSET PRICING

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2015Large Deviations and Asymptotic Methods in Finance 2016ALGORITHMIC TRADING WITH LEARNING 2014Generalized Gaussian bridges 2012Archimedean survival processes 2016The Markov consistency of Archimedean survival processes

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Year2010

Typearticle

Published2010-12-14

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations88

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.12.003

openalex_workW1973993702

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