THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS

DOI10.1142/S0219024911006449zbMath1231.91494OpenAlexW1988792988MaRDI QIDQ3094329

Dewen Xiong, Michael Kohlmann

Publication date: 24 October 2011

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

Full work available at URL: https://doi.org/10.1142/s0219024911006449

zbMATH Keywords

(approximate) completenesscommon equivalent martingale measurecompatible bond-stock marketvariance optimal hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic processes (60G99)

Related Items (1)

Defaultable Bond Markets with Jumps

Cites Work

• Calcul stochastique et problèmes de martingales
• Dynamic programming and mean-variance hedging
• Towards a general theory of bond markets
• Continuous-time term structure models: Forward measure approach
• An extension of mean-variance hedging to the discontinuous case
• On the use of measure-valued strategies in bond markets
• Risk-neutral compatibility with option prices
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Mean Variance Hedging in a General Jump Model
• Bond Market Structure in the Presence of Marked Point Processes

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