A theory of stochastic integration for bond markets

Marzia De Donno; M. PRATELLI

doi:10.1214/105051605000000548

A theory of stochastic integration for bond markets

Marzia De Donno, M. PRATELLI

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, we compare our approach to those already existing in literature.

Original language	English
Pages (from-to)	2773-2791
Number of pages	19
Journal	THE ANNALS OF APPLIED PROBABILITY
Volume	15
Issue number	4
DOIs	https://doi.org/10.1214/105051605000000548
Publication status	Published - 2005

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

Infinite-dimensional stochastic integration
bond market.
convergence of semimartingales

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10.1214/105051605000000548

Cite this

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keywords = "Infinite-dimensional stochastic integration, bond market., convergence of semimartingales, Infinite-dimensional stochastic integration, bond market., convergence of semimartingales",

author = "{De Donno}, Marzia and M. PRATELLI",

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T1 - A theory of stochastic integration for bond markets

AU - De Donno, Marzia

AU - PRATELLI, M.

PY - 2005

Y1 - 2005

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AB - We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, we compare our approach to those already existing in literature.

KW - Infinite-dimensional stochastic integration

KW - bond market.

KW - convergence of semimartingales

KW - Infinite-dimensional stochastic integration

KW - bond market.

KW - convergence of semimartingales

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JO - THE ANNALS OF APPLIED PROBABILITY

JF - THE ANNALS OF APPLIED PROBABILITY

IS - 4

ER -

A theory of stochastic integration for bond markets

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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