Brody D. Financial Informatics...Approach To Asset Pricing 2022

Textbook in PDF format

For readers new to financial informatics, we offer here a few words of introduction. The importance of the role of information in finance has been recognized for a long time, dating back to the works of the Nobel laureate economist Friedrich Hayek. In the approach that we have adopted, the idea is that the flow of information to market participants has to be modeled explicitly. In this respect, we differ from the classical outlook of mathematical finance, in which the information flow is typically fixed in advance of any specific modelling constructions. We would argue that this is wrongheaded, that first one needs to model the random cash flows generated by a financial asset, and then one needs to model the imperfect information known to market participants concerning these cash flows; and only then, one makes use of this information to generate the market filtration used for pricing.
Beyond Hazard Rates: A New Framework for Credit-Risk Modelling
Information-Based Asset Pricing
Dam Rain and Cumulative Gain
Informed Traders
Information of Interest
Credit Risk, Market Sentiment and Randomly-Timed Default
Lévy Random Bridges and the Modelling of Financial Information
Modelling Information Flows in Financial Markets
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Lévy Information and the Aggregation of Risk Aversion
Signal Processing with Lévy Information
Heat Kernel Models for Asset Pricing
Randomized Mixture Models for Pricing Kernels
Stochastic Modelling with Randomized Markov Bridges
Modulated Information Flows in Financial Markets
Pricing with Variance Gamma Information
On the Pricing of Storable Commodities
Mathematical Models for Fake News