On the use of measure-valued strategies in bond markets

DOI10.1007/S00780-003-0102-7zbMATH Open1051.60059OpenAlexW2026135940MaRDI QIDQ1887264FDOQ1887264

Authors: M. Pratelli, Marzia De Donno 

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0102-7

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zbMATH Keywords

market completenessbond marketsmeasure-valued portfoliocovariance spacescylindrical stochastic integrationterm structure of interest

Mathematics Subject Classification ID

Random fields (60G60) Portfolio theory (91G10) Stochastic integrals (60H05)

Cited In (10)

• Bond market completeness under stochastic strings with distribution-valued strategies
• A theory of stochastic integration for bond markets
• UTILITY MAXIMIZATION IN A LARGE MARKET
• Minimal-variance hedging in large financial markets: random fields approach
• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
• Generalized integrands and bond portfolios: pitfalls and counter examples
• Optimal portfolio choice in the bond market
• The compatible bond-stock market with jumps
• A characterization of hedging portfolios for interest rate contingent claims.
• On incompleteness of bond markets with infinite number of random factors

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