L. P. Hughston

University of London - Department of Mathematics

Strand

London , WC2R 2LS

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

544

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Conditional Density Models for Asset Pricing

Swiss Finance Institute Research Paper No. 10-44
Number of pages: 23 Posted: 06 Nov 2010 Last Revised: 09 Nov 2011
Damir Filipović, L. P. Hughston and Andrea Macrina
Ecole Polytechnique Fédérale de Lausanne, University of London - Department of Mathematics and University College London
Downloads 408 (74,153)
Citation 2

Abstract:

Loading...

Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing

2.

General Theory of Geometric Lévy Models for Dynamic Asset Pricing

Number of pages: 20 Posted: 09 Nov 2011
Dorje C. Brody, L. P. Hughston and Ewan Mackie
Brunel University London - School of Information Systems, Computing and Mathematics, University of London - Department of Mathematics and affiliation not provided to SSRN
Downloads 86 (303,150)

Abstract:

Loading...

lévy processes, asset pricing, risk premium, risk aversion, Siegel's paradox

3.
Downloads 50 (399,409)
Citation 3

Social Discounting and the Long Rate of Interest

Number of pages: 30 Posted: 22 Jun 2013 Last Revised: 19 Aug 2015
Dorje C. Brody and L. P. Hughston
Brunel University London - School of Information Systems, Computing and Mathematics and University of London - Department of Mathematics
Downloads 50 (409,736)
Citation 2

Abstract:

Loading...

Interest rate models, Dybvig-Ingersoll-Ross theorem, long rate, social discounting, pricing kernel, hyperbolic discount function, declining discount rate

4.

Information-Based Asset Pricing

International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 107-142, 2008
Posted: 01 Dec 2009
Dorje C. Brody, L. P. Hughston and Andrea Macrina
Brunel University London - School of Information Systems, Computing and Mathematics, University of London - Department of Mathematics and University College London

Abstract:

Loading...

Asset pricing, partial information, stochastic volatility, correlation, dividend growth, Brownian bridge, nonlinear filtering, market microstructure

5.

Positive Interest

Posted: 13 Sep 1999
Bjorn Flesaker and L. P. Hughston
Merrill Lynch & Co. and University of London - Department of Mathematics

Abstract:

Loading...