42,653 research outputs found
Pricing Fixed-Income Securities in an Information-Based Framework
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 nominal discount bonds, and deduce the
associated dynamics of the short rate of interest and the market price of risk.
The interest rate positivity 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
Information, Inflation, and Interest
We propose a class of discrete-time stochastic models for the pricing of
inflation-linked assets. The paper begins with an axiomatic scheme for asset
pricing and interest rate theory in a discrete-time setting. The first axiom
introduces a "risk-free" asset, and the second axiom determines the
intertemporal pricing relations that hold for dividend-paying assets. The
nominal and real pricing kernels, in terms of which the price index can be
expressed, are then modelled by introducing a Sidrauski-type utility function
depending on (a) the aggregate rate of consumption, and (b) the aggregate rate
of real liquidity benefit conferred by the money supply. Consumption and money
supply policies are chosen such that the expected joint utility obtained over a
specified time horizon is maximised subject to a budget constraint that takes
into account the "value" of the liquidity benefit associated with the money
supply. For any choice of the bivariate utility function, the resulting model
determines a relation between the rate of consumption, the price level, and the
money supply. The model also produces explicit expressions for the real and
nominal pricing kernels, and hence establishes a basis for the valuation of
inflation-linked securities
Discrete-Time Interest Rate Modelling
This paper presents an axiomatic scheme for interest rate models in discrete
time. We take a pricing kernel approach, which builds in the arbitrage-free
property and provides a link to equilibrium economics. We require that the
pricing kernel be consistent with a pair of axioms, one giving the
inter-temporal relations for dividend-paying assets, and the other ensuring the
existence of a money-market asset. We show that the existence of a
positive-return asset implies the existence of a previsible money-market
account. A general expression for the price process of a limited-liability
asset is derived. This expression includes two terms, one being the discounted
risk-adjusted value of the dividend stream, the other characterising retained
earnings. The vanishing of the latter is given by a transversality condition.
We show (under the assumed axioms) that, in the case of a limited-liability
asset with no permanently-retained earnings, the price process is given by the
ratio of a pair of potentials. Explicit examples of discrete-time models are
provided
A two-component model for fitting light-curves of core-collapse supernovae
We present an improved version of a light curve model, which is able to
estimate the physical properties of different types of core-collapse supernovae
having double-peaked light curves, in a quick and efficient way. The model is
based on a two-component configuration consisting of a dense, inner region and
an extended, low-mass envelope. Using this configuration, we estimate the
initial parameters of the progenitor via fitting the shape of the
quasi-bolometric light curves of 10 SNe, including Type IIP and IIb events,
with model light curves. In each case we compare the fitting results with
available hydrodynamic calculations, and also match the derived expansion
velocities with the observed ones. Furthermore, we also compare our
calculations with hydrodynamic models derived by the SNEC code, and examine the
uncertainties of the estimated physical parameters caused by the assumption of
constant opacity and the inaccurate knowledge of the moment of explosion
Goos-Haenchen and Imbert-Fedorov shifts of a nondiffracting Bessel beam
Goos-Haenchen and Imbert-Fedorov shifts are diffractive corrections to
geometrical optics that have been extensively studied for a Gaussian beam that
is reflected or transmitted by a dielectric interface. Propagating in free
space before and after reflection or transmission, such a Gaussian beam spreads
due to diffraction. We address here the question how the Goos-Haenchen and
Imbert-Fedorov shifts behave for a ``nondiffracting'' Bessel beam.Comment: 3 pages, 1 figur
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