Information-Based Trading
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- Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012. "Conditional Density Models For Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-24.
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- Dorje C. Brody & Lane P. Hughston & Ewan Mackie, 2011. "General Theory of Geometric L\'evy Models for Dynamic Asset Pricing," Papers 1111.2169, arXiv.org, revised Jan 2012.
- Lane P. Hughston & Leandro S'anchez-Betancourt, 2020. "Pricing with Variance Gamma Information," Papers 2003.07967, arXiv.org, revised Sep 2020.
- Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012. "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 9, pages 225-248, World Scientific Publishing Co. Pte. Ltd..
- Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2022. "Information-Based Asset Pricing," World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 2, pages 29-64, World Scientific Publishing Co. Pte. Ltd..
- Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2008. "Information-Based Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 107-142.
- Lane P. Hughston & Andrea Macrina, 2012. "Pricing Fixed-Income Securities in an Information-Based Framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 361-379, September.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2022-03-07 (Central and Western Asia)
- NEP-MST-2022-03-07 (Market Microstructure)
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