On the use of measure-valued strategies in bond markets

DOI10.1007/s00780-003-0102-7zbMath1051.60059OpenAlexW2026135940MaRDI QIDQ1887264

Maurizio Pratelli, Marzia De Donno

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0102-7

zbMATH Keywords

market completenessbond marketsmeasure-valued portfoliocovariance spacescylindrical stochastic integrationterm structure of interest

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items

A characterization of hedging portfolios for interest rate contingent claims. ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ Optimal portfolio choice in the bond market ⋮ Generalized integrands and bond portfolios: pitfalls and counter examples ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS ⋮ A theory of stochastic integration for bond markets ⋮ BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets ⋮ THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS ⋮ Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach