COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS

DOI10.1142/S0219024910005942zbMath1233.91101arXiv0812.1796MaRDI QIDQ2786029

Zabczyk, Jerzy, Michał Barski

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.1796

zbMATH Keywords

bond marketcompletenessLévy term structure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random measures (60G57) Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

On CIR Equations with General Factors

Cites Work

• Towards a general theory of bond markets
• Lévy term structure models: no-arbitrage and completeness
• Bond market completeness and attainable contingent claims
• Bond Market Structure in the Presence of Marked Point Processes
• Functional Analysis
• Lévy Processes and Stochastic Calculus

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