Completeness and hedging in a Lévy bond market

DOI10.1007/978-3-0348-0097-6_18MaRDI QIDQ2909989zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_18

zbMATH Keywords

bond marketarbitragemarket completenessterm structuresLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Completeness of bond market driven by Lévy process
• Incompleteness of the bond market with Lévy noise under the physical measure
• Optimal hedging in incomplete markets
• On incompleteness of bond markets with infinite number of random factors
• Completion of a Lévy market by power-jump assets

Cited in

(5)

• Lévy term structure models: no-arbitrage and completeness
• On incompleteness of bond markets with infinite number of random factors
• Completeness of bond market driven by Lévy process
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Incompleteness of the bond market with Lévy noise under the physical measure

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