Information-Based Models for Finance and Insurance

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The ‘information-based framework’ of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics. This approach has led to the development of new models that capture a broad range of price behaviour. This thesis extends the work of BHM by introducing a wider class of processes for the generation of the market filtration. In the BHM framework, each asset is associated with a collection of random cash flows. The asset price is the sum of the discounted expectations of the cash flows. Expectations are taken with respect (i) an appropriate measure, and (ii) the filtration generated by a set of so-called information processes that carry noisy or imperfect market information about the cash flows. To model the flow of information, we introduce a class of processes termed Levy random bridges (LRBs), generalising the Brownian and gamma information processes of BHM. Conditioned on its terminal value, an LRB is identical in law to a Levy bridge. We consider in detail the case where the asset generates a single cash flow XT at a fixed date T. The flow of information about XT is modelled by an LRB with random terminal value XT. An explicit expression for the price process is found by working out the discounted conditional expectation of XT with respect to the natural filtration of the LRB. New models are constructed using information processes related to the Poisson process, the Cauchy process, the stable-1/2 subordinator, the variance-gamma process, and the normal inverse-Gaussian process. These are applied to the valuation of credit-risky bonds, vanilla and exotic options, and non-life insurance liabilities

A schema for generic process tomography sensors

A schema is introduced that aims to facilitate the widespread exploitation of the science of process tomography (PT) that promises a unique multidimensional sensing opportunity. Although PT has been developed to an advanced state, applications have been laboratory or pilot-plant based, configured on an end-to-end basis, and limited typically to the formation of images that attempt to represent process contents. The schema facilitates the fusion of multidimensional internal process state data in terms of a model that yields directly usable process information, either for design model confirmation or for effective plant monitoring or control, here termed a reality visualization model (RVM). A generic view leads to a taxonomy of process types and their respective RVM. An illustrative example is included and a review of typical sensor system components is given

Government-funded apprenticeships are generally of good quality. Establishing universally recognised definitions and funding procedures should be a priority

Graham Hoyle discusses the current state of the apprenticeship ‘brand’, arguing that – contrary to current media perceptions – there is no quality crisis, although a greater focus is needed on definitions and costs

Oral History

published or submitted for publicatio

Cosmological Acceleration from Energy Influx

We discuss the cosmological evolution of a 3-brane Universe in the presence of energy influx from the bulk. We show that this influx can lead to accelerated expansion on the brane, depending on the equations of state of the bulk and brane matter. The absorption of non-relativistic bulk matter by the brane at an increasing rate leads to a small positive acceleration parameter during the era of matter domination on the brane. On the other hand, the brane expansion remains decelerating during radiation domination.Comment: 8 pages, minor corrections and clarification

On searches for gravitational waves from mini creation event by laser interferometric detectors

As an alternative view to the standard big bang cosmology the quasi-steady state cosmology(QSSC) argues that the universe was not created in a single great explosion; it neither had a beginning nor will it ever come to an end. The creation of new matter in the universe is a regular feature occurring through finite explosive events. Each creation event is called a mini-bang or, a mini creation event(MCE). Gravitational waves are expected to be generated due to any anisotropy present in this process of creation. Mini creation event ejecting matter in two oppositely directed jets is thus a source of gravitational waves which can in principle be detected by laser interferometric detectors. In the present work we consider the gravitational waveforms propagated by linear jets and then estimate the response of laser interferometric detectors like LIGO and LISA

Interpretations of the Accelerating Universe

It is generally argued that the present cosmological observations support the accelerating models of the universe, as driven by the cosmological constant or `dark energy'. We argue here that an alternative model of the universe is possible which explains the current observations of the universe. We demonstrate this with a reinterpretation of the magnitude-redshift relation for Type Ia supernovae, since this was the test that gave a spurt to the current trend in favour of the cosmological constant.Comment: 12 pages including 2 figures, minor revision, references added, a paragraph on the interpretation of the CMB anisotropy in the QSSC added in conclusion, general results unchanged. To appear in the October 2002 issue of the "Publications of the Astronmical Society of the Pacific

Generic reality visualization modelling from process tomography sensor data in process design

The paper introduces a novel enabling step toward the widespread exploitation of the multi-dimensional process sensing offered by process tomography (PT) technology that has demonstrated a unique insight into many processes. Most current applications are laboratory or pilot-plant based. Generic system integration tools are proposed that deal systematically with PT data to accelerate the assessment and application of PT sensing, and hence deliver the large benefits expected to arise from large-scale exploitation of multi-dimensional sensing. Where multi-dimensional PT sensor data is available, a suite of enabling tools: reality visualisation modelling (RVM), are proposed as the complementary generic set of processing methods needed to take internal process state data, and yield directly usable process information, either for design model confirmation, or for effective plant control, or monitoring. A further step: Generic-RVM (GRVM) extends this concept through a generically defined process topology, complete with method and model set, to expedite mass-market application. The paper offers a practical illustration through a small pilot trial