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タイトル: | Pricing Fixed-Income Securities in an Information-Based Framework |
著者: | Hughston, Lane P. Macrina, Andrea |
キーワード: | Fixed-income securities interest rate theory inflation inflation-linked securities non-linear filtering incomplete information |
発行日: | Jan-2010 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 692 |
抄録: | In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy. The nominal pricing kernel is at any given time assumed to be given by a function of the values of information processes at that time. By use of a change-of-measure technique we derive explicit expressions for the price processes of nom- inal discount bonds, and deduce the associated dynamics of the short rate of interest and the market price of risk. The interest rate positiv- ity condition is expressed as a differential inequality. We proceed to the modelling of the price-level, which at any given time is also taken to be a function of the values of the information processes at that time. A simple model for a stochastic monetary economy is introduced in which the prices of nominal discount bonds and inflation-linked notes can be expressed in terms of aggregate consumption and the liquidity benefit generated by the money supply. |
URI: | http://hdl.handle.net/2433/129600 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/692.html |
出現コレクション: | KIER Discussion Paper (英文版) |

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