Information of interest

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/13397

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DC Field	Value	Language
dc.contributor.author	Brody, DC	-
dc.contributor.author	Friedman, RL	-
dc.date.accessioned	2016-10-21T12:08:02Z	-
dc.date.available	2009-12-02	-
dc.date.available	2016-10-21T12:08:02Z	-
dc.date.issued	2009	-
dc.identifier.citation	Risk Magazine, 2009, December 2009 pp. 101 - 106	en_US
dc.identifier.uri	https://arxiv.org/abs/0905.0072v2	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/13397	-
dc.description.abstract	A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is determined by prices of certain weighted perpetual annuities. Pricing formulae for interest rate derivatives are derived.	en_US
dc.format.extent	101 - 106	-
dc.language	en	-
dc.language.iso	en	en_US
dc.subject	Pricing of Securities	en_US
dc.title	Information of interest	en_US
dc.type	Article	en_US
dc.relation.isPartOf	Risk Magazine	-
pubs.notes	Reprinted in Life & Pensions, February, 35-40 (2010)	-
pubs.volume	December 2009	-
Appears in Collections:	Dept of Mathematics Research Papers

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