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 |
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pagine (da-a) | 2773-2791 |
Numero di pagine | 19 |
Rivista | THE ANNALS OF APPLIED PROBABILITY |
Volume | 15 |
DOI | |
Stato di pubblicazione | Pubblicato - 2005 |
Keywords
- Infinite-dimensional stochastic integration, convergence of semimartingales, bond market.