Bond market completeness and attainable contingent claims

DOI10.1007/S00780-005-0156-9zbMath1092.91032arXivmath/0402364OpenAlexW2028075598MaRDI QIDQ2488489

Erik Taflin

Publication date: 24 May 2006

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

Full work available at URL: https://arxiv.org/abs/math/0402364

zbMATH Keywords

Malliavin calculuscomplete marketsutility optimizationbond portfolioHilbert space valued processes

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (10)

Bond market completeness under stochastic strings with distribution-valued strategies ⋮ Optimal portfolio choice in the bond market ⋮ Generalized integrands and bond portfolios: pitfalls and counter examples ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ On mean-variance hedging of bond options with stochastic risk premium factor ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS ⋮ COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

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