摘要翻译：
我们提出了一类通货膨胀挂钩资产定价的离散时间随机模型。本文从离散时间环境下资产定价和利率理论的公理方案开始。第一个公理引入了“无风险”资产，第二个公理确定了支付股息资产的跨期定价关系。然后，通过引入一个Sidrauski型效用函数，对名义和实际定价内核进行建模，该函数依赖于(a)总消费率和(b)货币供应所赋予的实际流动性收益的总比率。消费和货币供应政策的选择，使得在特定时间范围内获得的预期联合效用在考虑到与货币供应相关的流动性利益的“价值”的预算约束下最大化。对于任何双变量效用函数的选择，所得到的模型都确定了消费率、物价水平和货币供应量之间的关系。该模型还产生了实际和名义定价内核的显式表达式，从而为通货膨胀挂钩证券的估值奠定了基础。
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英文标题：
《Information, Inflation, and Interest》
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作者：
Lane P. Hughston and Andrea Macrina
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/0710.2876