A theory of stochastic integration for bond markets

DOI10.1214/105051605000000548zbMath1121.60056arXivmath/0602532OpenAlexW3105842275MaRDI QIDQ2496508

Maurizio Pratelli, Marzia De Donno

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602532

zbMATH Keywords

bond marketconvergence of semimartingalesinfinite-dimensional stochastic integration

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (11)

Fractional term structure models: No-arbitrage and consistency ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ Generalized integrands and bond portfolios: pitfalls and counter examples ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ Continuous time trading of a small investor in a limit order market ⋮ INDIFFERENCE PRICING FOR CONTINGENT CLAIMS: LARGE DEVIATIONS EFFECTS ⋮ On a Class of Generalized Integrands ⋮ BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets ⋮ Optimal Exponential Utility in a Jump Bond Market ⋮ No Arbitrage Theory for Bond Markets

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