ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS
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Publication:3008490
DOI10.1111/j.1467-9965.2010.00438.xzbMath1229.91369arXiv0809.2270OpenAlexW1550493713MaRDI QIDQ3008490
Zabczyk, Jerzy, Michał Barski, Jacek Jakubowski
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0809.2270
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Bond market completeness under stochastic strings with distribution-valued strategies ⋮ A quantum mechanics for interest rate derivatives markets ⋮ On mean-variance hedging of bond options with stochastic risk premium factor
Cites Work
- Exponential moments for HJM models with jumps
- Semimartingales: A course on stochastic processes
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Towards a general theory of bond markets
- A characterization of hedging portfolios for interest rate contingent claims.
- On the use of measure-valued strategies in bond markets
- Bond market completeness and attainable contingent claims
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A Characterization of Complete Security Markets On A Brownian Filtration1
- Bond Market Structure in the Presence of Marked Point Processes
- Stochastic Partial Differential Equations with Levy Noise
- STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
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