A theory of stochastic integration for bond markets

Marzia De Donno, M. Pratelli

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer 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 originaleEnglish
pagine (da-a)2773-2791
Numero di pagine19
RivistaTHE ANNALS OF APPLIED PROBABILITY
Volume15
DOI
Stato di pubblicazionePubblicato - 2005

Keywords

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

Fingerprint Entra nei temi di ricerca di 'A theory of stochastic integration for bond markets'. Insieme formano una fingerprint unica.

Cita questo