Completeness and Hedging in a Lévy Bond Market

DOI10.1007/978-3-0348-0097-6_18zbMath1246.91124OpenAlexW2118251212MaRDI QIDQ2909989

José Manuel Corcuera

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_18

zbMATH Keywords

Lévy processesbond marketarbitragemarket completenessterm structures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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