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摘要翻译：
本文介绍了一类基于信息的固定收益证券定价模型。我们考虑一组连续时间的信息过程，它描述了货币经济中有关市场因素的信息流动。名义定价核在任一给定时刻假定由当时信息过程值的函数给出。利用测度变化技术，导出了名义贴现债券价格过程的显式表达式，并推导了短期利率与市场风险价格的关联动态。利率正性条件表示为微分不等式。我们继续对价格水平进行建模，在任何给定的时间，价格水平也被认为是当时信息过程价值的函数。介绍了一个简单的随机货币经济模型，其中名义贴现债券和通货膨胀挂钩债券的价格可以用总消费和货币供应量产生的流动性效益来表示。
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英文标题：
《Pricing Fixed-Income Securities in an Information-Based Framework》
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作者：
Lane P. Hughston and Andrea Macrina
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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 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.
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PDF链接：
https://arxiv.org/pdf/0911.1610
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