Dorje C. Brody

Brunel University London - School of Information Systems, Computing and Mathematics

United Kingdom

SCHOLARLY PAPERS

4

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215

CITATIONS

0

Scholarly Papers (4)

1.

Noise, Risk Premium, and Bubble

Number of pages: 14 Posted: 22 Feb 2011
Grzegorz Andruszkiewicz and Dorje C. Brody
Imperial College London and Brunel University London - School of Information Systems, Computing and Mathematics
Downloads 88 (243,183)

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Pricing Kernel, Market Information, Noise, Risk Premium, Financial Bubble

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 72 (267,167)

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

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 41 (376,980)

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

Social Discounting and the Long Rate of Interest

Mathematical Finance, Vol. 28, Issue 1, pp. 306-334, 2018
Number of pages: 29 Posted: 17 Jan 2018
Dorje C. Brody and Lane Hughston
Brunel University London - School of Information Systems, Computing and Mathematics and Brunel University London
Downloads 1 (595,075)
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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

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