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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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