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

University of Pisa

Risultato della ricerca: Contributo in rivista › Articolo in rivista › peer review

12 Citazioni (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.

Lingua originale	English
pagine (da-a)	2773-2791
Numero di pagine	19
Rivista	THE ANNALS OF APPLIED PROBABILITY
Volume	15
DOI	https://doi.org/10.1214/105051605000000548
Stato di pubblicazione	Pubblicato - 2005

Keywords

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

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10.1214/105051605000000548

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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.

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A theory of stochastic integration for bond markets

Abstract

Keywords

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