We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...

A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the corresponding price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can...

The theory of Lévy models for asset pricing simplifies considerably if one takes a pricing kernel approach, which enables one to bypass market incompleteness issues. The special case of a geometric Lévy model (GLM) with constant parameters can be regarded as a natural generalization of the...

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...