scientific article; zbMATH DE number 5052224
zbMATH Open1191.91053MaRDI QIDQ5486562FDOQ5486562
Authors: Marzia De Donno 
Publication date: 11 September 2006
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0002.html
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utility maximizationterm structure of interest ratesbond marketWiener sheetgeneralized strategyInfinite-dimensional stochastic integration
Portfolio theory (91G10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cited In (10)
- Bond market completeness under stochastic strings with distribution-valued strategies
- Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
- Stochastic string models with continuous semimartingales
- A theory of stochastic integration for bond markets
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Generalizations of Ho-Lee's binomial interest rate model II: randomization
- On the structure of the stochastic processes of mortgages in Spain
- State space approach to the term structure of interest rates
- Interest Rates Term Structure Models Driven by Hawkes Processes
- On the use of measure-valued strategies in bond markets
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