Generalized integrands and bond portfolios: pitfalls and counter examples

DOI10.1214/10-AAP694zbMath1213.60098arXiv0909.2341MaRDI QIDQ627245

Erik Taflin

Publication date: 21 February 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.2341

zbMATH Keywords

replicationcylindrical Brownian motionbond marketsComplete marketsgeneralized integrandsgeneralized portfolios

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Brownian motion (60J65) Stochastic integrals (60H05)

Related Items

No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ 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 ⋮ No Arbitrage Theory for Bond Markets

Cites Work

• Unnamed Item
• A theory of bond portfolios
• 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
• A theory of stochastic integration for bond markets
• Bond Market Structure in the Presence of Marked Point Processes
• A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
• Optimal Bond Portfolios
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Generalized integrands and bond portfolios: pitfalls and counter examples