Search Results for author: Lane P. Hughston

Found 4 papers, 0 papers with code

Quantum Measurement of Space-Time Events

no code implementations23 Nov 2020 Dorje C. Brody, Lane P. Hughston

The phase space of a relativistic system can be identified with the future tube of complexified Minkowski space.

Quantum Physics General Relativity and Quantum Cosmology High Energy Physics - Theory

Optimal Hedging in Incomplete Markets

no code implementations23 Jun 2020 George Bouzianis, Lane P. Hughston

We consider the problem of optimal hedging in an incomplete market with an established pricing kernel.

Pricing with Variance Gamma Information

no code implementations17 Mar 2020 Lane P. Hughston, Leandro Sánchez-Betancourt

A cash flow $H_T$ is taken to depend on the market factor $X_T$, and one considers the valuation of a financial asset that delivers $H_T$ at $T$.

Lévy-Ito Models in Finance

no code implementations19 Jul 2019 George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro Sánchez-Betancourt

We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure.

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