摘要翻译：
提出了一种基于市场参与者可获得的信息建模的资产定价新框架。每项资产以其产生的现金流量为特征。每个现金流量表示为一个或多个独立的随机变量的函数，称为市场因素或“X-因素”。每个X因子都与一个“市场信息过程”相关联，市场参与者可以获得该过程的价值。除了关于x因子的真实信息之外，信息过程还包含一个独立的“噪声”项，在这里用布朗桥建模。因此，信息过程给出了关于X因子的部分信息，市场因子的价值只有在过程结束时才被揭示出来。假设市场过滤是由与X因子相关的信息过程产生的。资产的价格是由折现现金流之和的风险中性预期给出的，条件是从过滤中获得的信息。该理论得到了一些详细的发展，在信用风险管理、股价、利率和通货膨胀方面有多种应用。对于各类资产和衍生证券的价格过程，得到了一些新的精确可解模型；并提出了一种新的机制来解释随机波动和动态相关性的动力学。本文还提出了一种离散时间的基于信息的框架，并用于构造一种新的实际利率和名义利率期限结构模型，以及相关价格指数的动态模型。
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英文标题：
《An Information-Based Framework for Asset Pricing: X-Factor Theory and
  its Applications》
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作者：
Andrea Macrina
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最新提交年份：
2008
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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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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：
  A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or "X-factors". Each X-factor is associated with a "market information process", the values of which become available to market participants. In addition to true information about the X-factor, the information process contains an independent "noise" term modelled here by a Brownian bridge. The information process thus gives partial information about the X-factor, and the value of the market factor is only revealed at the termination of the process. The market filtration is assumed to be generated by the information processes associated with the X-factors. The price of an asset is given by the risk-neutral expectation of the sum of the discounted cash flows, conditional on the information available from the filtration. The theory is developed in some detail, with a variety of applications to credit risk management, share prices, interest rates, and inflation. A number of new exactly solvable models are obtained for the price processes of various types of assets and derivative securities; and a novel mechanism is proposed to account for the dynamics of stochastic volatility and dynamic correlation. A discrete-time version of the information-based framework is also developed, and is used to construct a new class of models for the real and nominal interest rate term structures, and the dynamics of the associated price index.
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PDF链接：
https://arxiv.org/pdf/0807.2124