Bond market completeness under stochastic strings with distribution-valued strategies

DOI10.1080/14697688.2021.2018483MaRDI QIDQ5068080zbMATH OpenOpenAlexFDO

Authors

Publication date 5 April 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.2018483

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A characterization of hedging portfolios for interest rate contingent claims.
• A course in distribution theory and applications
• A theory of bond portfolios
• A theory of stochastic integration for bond markets
• An analytically tractable interest rate model with humped volatility
• Arbitrage Theory in Continuous Time
• Bond market completeness and attainable contingent claims
• Bond Market Structure in the Presence of Marked Point Processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Distributions
• Hedging contingent claims on semimartingales
• scientific article; zbMATH DE number 5052224 (Why is no real title available?)
• scientific article; zbMATH DE number 3240665 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• On incompleteness of bond markets with infinite number of random factors
• On the use of measure-valued strategies in bond markets
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Stochastic string models with continuous semimartingales
• The Malliavin Calculus and Related Topics
• The stochastic string model as a unifying theory of the term structure of interest rates
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Towards a general theory of bond markets
• Valuation of caps and swaptions under a stochastic string model
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(3)

• A theory of stochastic integration for bond markets
• How does liquidity shape the yield curve?
• Revisiting elastic string models of forward interest rates

This page was built for publication: Bond market completeness under stochastic strings with distribution-valued strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5068080)