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摘要翻译：
本文建立了随机利率环境下证券定价的不完全信息模型。特别是，我们考虑信用风险资产，可能包括违约时的随机回收。市场过滤是由与利率所依赖的经济因素相关联的信息过程集合产生的，以及与用于模拟证券现金流的市场因素相关联的信息过程集合产生的。我们使用信息敏感的定价内核来产生随机利率。导出了信用风险债券价格的半解析表达式，并构造了若干考虑违约时经济感知状态的恢复模型。推导了欧式看涨债券期权的价格，并说明了混合证券的例子，如与通货膨胀挂钩的信用风险债券，可以如何估值。最后，利用一个累积信息过程来开发对一个经济体的债务总量做出反应的定价核心。
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英文标题：
《Security Pricing with Information-Sensitive Discounting》
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作者：
Andrea Macrina and Priyanka A. Parbhoo
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market filtration is generated by a collection of information processes associated with economic factors, on which interest rates depend, and information processes associated with market factors used to model the cash flows of the securities. We use information-sensitive pricing kernels to give rise to stochastic interest rates. Semi-analytical expressions for the price of credit-risky bonds are derived, and a number of recovery models are constructed which take into account the perceived state of the economy at the time of default. The price of European-style call bond options is deduced, and it is shown how examples of hybrid securities, like inflation-linked credit-risky bonds, can be valued. Finally, a cumulative information process is employed to develop pricing kernels that respond to the amount of aggregate debt of an economy.
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PDF链接：
https://arxiv.org/pdf/1001.3570
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