Bond market completeness under stochastic strings with distribution-valued strategies
From MaRDI portal
Publication:5068080
DOI10.1080/14697688.2021.2018483zbMath1484.91470OpenAlexW4226245987MaRDI QIDQ5068080
No author found.
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.2018483
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A theory of bond portfolios
- Martingales and stochastic integrals in the theory of continuous trading
- Hedging contingent claims on semimartingales
- Towards a general theory of bond markets
- An analytically tractable interest rate model with humped volatility
- Stochastic string models with continuous semimartingales
- The stochastic string model as a unifying theory of the term structure of interest rates
- A characterization of hedging portfolios for interest rate contingent claims.
- On the use of measure-valued strategies in bond markets
- Valuation of caps and swaptions under a stochastic string model
- Bond market completeness and attainable contingent claims
- A theory of stochastic integration for bond markets
- ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
- The Malliavin Calculus and Related Topics
- Distributions
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
- Bond Market Structure in the Presence of Marked Point Processes
- STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
- Arbitrage Theory in Continuous Time
This page was built for publication: Bond market completeness under stochastic strings with distribution-valued strategies