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Professor Lane Hughston

Professor Lane Hughston
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Brody, DC. and Hughston, LP. (2017) 'Quantum State Reduction', in Gao, S. (ed.) Collapse of the Wave Function. Cambridge University Press.Open Access Link

Book chapter

Brody, DC. and Hughston, LP. (2016) 'Thermodynamics of quantum heat bath'. JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, 49 (42). ISSN: 1751-8113 Open Access Link

Journal article

Brody, DC. and Hughston, LP. (2016) 'Social Discounting and the Long Rate of Interest'. Mathematical Finance. ISSN: 1467-9965 Open Access Link

Journal article

Hughston, LP. and Salamon, SM. (2016) 'Surveying Points in the Complex Projective Plane'. Advances in Mathematics, 286. pp. 1017 - 1052. ISSN: 1090-2082 Open Access Link

Journal article

Brody, DC., Bender, CM., Hughston, LP. and Meister, BK. (2016) 'Geometric aspects of space-time reflection symmetry in quantum mechanics', in Bagarello, F., Passante, R. and Trapani, C. (eds.) Non-Hermitian Hamiltonians in Quantum Physics. Springer. , Springer Proceedings in Physics 184. pp. 185 - 199.Open Access Link

Book chapter

Hoyle, E., Hughston, LP. and Macrina, A. (2015) 'Stable-1/2 Bridges and Insurance', in Palczewski, A. and Stettner, L. (eds.) Advances in Mathematics of Finance. Banach Center Publications, Volume 104, Institute of Mathematics, Polish Academy of Sciences, Warsaw. pp. 95 - 120.Open Access Link

Book chapter

Brody, DC., Hughston, LP. and Meier, DM. (2015) 'Fragile Entanglement Statistics'. Journal of Physics A: Mathematical and Theoretical, 48.Open Access Link

Journal article

Brody, DC. and Hughston, LP. (2015) 'Universal Quantum Measurements'. Journal of Physics: Conference Series, 624.Open Access Link

Journal article

Brody, DC. and Hughston, LP. (2013) 'Lévy Information and the Aggregation of Risk Aversion'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 469 (2154). ISSN: 0080-4630

Journal article

Brody, DC., Hughston, LP. and Yang, X. (2013) 'Signal Processing with Lévy Information'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 469 (2149). ISSN: 0080-4630 Open Access Link

Journal article

Brody, DC., Hughston, LP. and Mackie, E. (2012) 'Rational Term Structure Models with Geometric Lévy Martingales'. Stochastics, 84 (5-6). pp. 719 - 740. ISSN: 1744-2508

Journal article

Grasselli, MR. and Hughston, LP. (2012) 'Finance at Fields'. World Scientific Publishing Company. ISSN 10: 9814407887 ISSN 13: 9789814407885

Book

Hughston, LP. and Macrina, A. (2012) 'Pricing Fixed-Income Securities in an Information-Based Framework'. Applied Mathematical Finance, 19 (4). pp. 361 - 379. ISSN: 1350-486X

Journal article

Brody, DC., Hughston, LP. and Mackie, E. (2012) 'General theory of Geometric Lévy Models for Dynamic Asset Pricing'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 468 (2142). pp. 1778 - 1798. ISSN: 0080-4630 Open Access Link

Journal article

Filipović, D., Hughston, LP. and Macrina, A. (2012) 'Conditional Density Models for Asset Pricing'. International Journal of Theoretical and Applied Finance, 15 (1). ISSN: 0219-0249

Journal article

Hughston, LP. and Mina, F. (2012) 'On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals', in Takahashi, A., Muromachi, Y. and Nakaoka, H. (eds.) Recent Advances in Financial Engineering 2011. World Scientific Publishing Company.. pp. 1 - 20. ISBN 10: 9814407321. ISBN 13: 9789814407328.

Book chapter

Brody, DC., Hughston, LP. and Macrina, A. (2011) 'Modelling information flows in financial markets', in Di Nunno, G. and Øksendal, B. (eds.) Advanced Mathematical Methods for Finance. Springer Verlag. pp. 133 - 154. ISBN 10: 3642184111. ISBN 13: 9783642184116.

Book chapter

Hoyle, E., Hughston, LP. and Macrina, A. (2011) 'Lévy Random Bridges and the Modelling of Financial Information'. Stochastic Processes and their Applications, 121 (4). pp. 856 - 884. ISSN: 0304-4149

Journal article

Brody, DC., Hughston, LP. and Parry, MF. (2010) 'Effects of quantum entanglement in phase transitions'. Physics Letters A, 374 (24). pp. 2424 - 2428. ISSN: 0375-9601

Journal article

Hughston, LP. and Macrina, A. (2010) 'Discrete-Time Interest-Rate Modelling', in Ruzhansky,, W. and Wirth, J. (eds.) Progress in Analysis and its Applications: Proceedings of the 7th International ISAAC Congress.. World Scientific Publishing Company..

Book chapter

Brody, DC., Gustavsson, AC. and Hughston, LP. (2010) 'Nonlinearity and Constrained Quantum Motion'. Journal of Physics A: Mathematical and Theoretical, 43 (8). ISSN: 1751-8113

Journal article

Brody, DC., Hughston, LP. and Macrina, A. (2010) 'Credit Risk, Market Sentiment and Randomly-Timed Default', in Crisan, D. (ed.) Stochastic Analysis 2010. Springer Verlag. pp. 267 - 280. ISBN 10: 3642153577. ISBN 13: 9783642153570.

Book chapter

Brody, DC., Davis, MHA., Friedman, RL. and Hughston, LP. (2009) 'Informed Traders'. Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences, 465 (2104). pp. 1103 - 1122. ISSN: 0080-4630 Open Access Link

Journal article

Brody, DC., Hughston, LP. and Macrina, A. (2008) 'Dam Rain and Cumulative Gain'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 464 (2095). pp. 1801 - 1822. ISSN: 0080-4630 Open Access Link

Journal article

Brody, DC., Hughston, LP. and Macrina, A. (2008) 'Information-Based Asset Pricing'. International Journal of Theoretical and Applied Finance, 11 (1). pp. 107 - 142. ISSN: 0219-0249

Journal article

Hughston, LP. and Macrina, A. (2008) 'Information, Interest, and Inflation', inAdvances in Mathematics of Finance. Banach Center Publications, Institute of Mathematics, Polish Academy of Science. , 83. pp. 117 - 138.

Book chapter

Brody, DC., Hook, DW. and Hughston, LP. (2007) 'Quantum Phase Transitions without Thermodynamic Limits'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 463 (2084). pp. 2021 - 2030. ISSN: 0080-4630

Journal article

Brody, DC., Hook, DW. and Hughston, LP. (2007) 'Unitarity, Ergodicity and Quantum Thermodynamics'. Journal of Physics A, 40 (26). pp. F503 - F509. ISSN: 1751-8113

Journal article

Brody, DC., Hook, DW. and Hughston, LP. (2007) 'On Quantum Microcanonical Equilibrium'. Journal of Physics: Conference Series, 67 (1). ISSN: 1742-6588 Open Access Link

Journal article

Brody, DC., Gustavsson, ACT. and Hughston, LP. (2007) 'Entanglement of Three-Qubit Geometry'. Journal of Physics: Conference Series, 67 (1). ISSN: 1742-6588 Open Access Link

Journal article

Bronstein, AL., Hughston, LP., Pistorius, MR. and Zervos, M. (2006) 'Discretionary Stopping of One-Dimensional itô Diffusions with a Staircase Reward Function'. Journal of Applied Probability, 43 (4). pp. 984 - 996. ISSN: 0021-9002

Journal article

Brody, DC., Constantinou, IC., Dear, JDC. and Hughston, LP. (2006) 'Exactly Solvable Quantum State Reduction Models with Time-Dependent Coupling'. Journal of Physics A, 39 (35). pp. 11029 - 11051. ISSN: 0305-4470

Journal article

Brody, DC. and Hughston, LP. (2006) 'Quantum Noise and Stochastic Reduction'. Journal of Physics A, 39 (4). pp. 833 - 876. ISSN: 0305-4470

Journal article

Brody, DC. and Hughston, LP. (2005) 'Theory of Quantum Space-Time'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 461 (2061). pp. 2679 - 2699. ISSN: 0080-4630

Journal article

Brody, DC. and Hughston, LP. (2005) 'Finite-Time Stochastic Reduction Models'. Journal of Mathematical Physics, 46 (8). pp. 1 - 7. ISSN: 0022-2488

Journal article

Hughston, LP. and Rafailidis, A. (2005) 'A Chaotic Approach to Interest Rate Modelling'. Finance and Stochastics, 9 (1). pp. 43 - 65. ISSN: 0949-2984

Journal article

Hughston, LP. and Brody, DC. (2005) 'Twistor Cosmology and Quantum Space-Time', in Lukierski, J. and Sorokin, D. (eds.) Proceedings of the XIXth Max Born Symposium, Institute of Theoretical Physics, Wroclaw, Poland. American Institute of Physics.Open Access Link

Book chapter

Brody, DC. and Hughston, LP. (2004) 'Chaos and Coherence: a New Framework for Interest-Rate Modelling'. Proceedings of the Royal Society of London. Series A, Mathematical and physical sciences, 460 (2041). pp. 85 - 110. ISSN: 0080-4630

Journal article

Brody, DC., Hughston, LP. and Syroka, J. (2003) 'Relaxation of Quantum States under Energy Perturbations'. Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences, 459 (2037). pp. 2297 - 2316. ISSN: 0080-4630

Journal article

Hughston, L. (2003) 'The Past, Present, and Future of Term Structure Modelling', inModern Risk Management: A History. Risk Publications. pp. 107 - 132.

Book chapter

Brody, DC. and Hughston, LP. (2002) 'Efficient Simulation of Quantum State Reduction'. Journal of Mathematical Physics, 43 (11). pp. 5254 - 5261. ISSN: 0022-2488

Journal article

Brody, DC. and Hughston, LP. (2002) 'Entropy and information in the interest rate term structure'. Quantitative Finance, 2 (1). pp. 70 - 80. ISSN: 1469-7688

Journal article

Adler, SL., Brody, DC., Brun, TA. and Hughston, LP. (2001) 'Martingale Models for Quantum State Reduction'. Journal of Physics A, 34 (42). pp. 8795 - 8820. ISSN: 0305-4470 Open Access Link

Journal article

Hughston, LP. and Turnbull, SM. (2001) 'Credit Risk: Constructing the Basic Building Blocks'. Economic Notes, 30 (2). pp. 281 - 292. ISSN: 0391-5026

Journal article

Brody, DC. and Hughston, LP. (2001) 'Geometric Quantum Mechanics'. Journal of Geometry and Physics, 38 (1). pp. 19 - 53. ISSN: 0393-0440

Journal article

Brody, DC. and Hughston, LP. (2001) 'Interest Rates and Information Geometry'. Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences, 457. pp. 1343 - 1363. ISSN: 0080-4630

Journal article

Sollich, P., Coolen, A., Hughston, LP. and Streater, RF. (2001) 'Disordered and Complex Systems'. American Institute of Physics. ISSN 10: 1563969831 ISSN 13: 9781563969836

Book

Mason, LJ., Hughston, L., Kobak, PZ. and Pulverer, K. (2001) 'Further Advances in Twistor Theory III: Curved Twistor Spaces'. CRC Press. ISSN 10: 1584880473 ISSN 13: 9781584880479

Book

Hughston, LP. and Zervos, M. (2001) 'Martingale Approach to the Pricing of Real Options.', in Sollich, P., Coolen, A., Hughston, LP. and Streater, R. (eds.) Disordered and Complex Systems. American Institute of Physics. pp. 325 - 330.

Book chapter

Hughston, LP. and Brody, DC. (2001) 'Applications of Information Geometry to Interest Rate Theory', in Sollich, P., Coolen, A., Hughston, LP. and Streater, R. (eds.) Disordered and Complex Systems. American Institute of Physics. pp. 281 - 288.

Book chapter