On the use of measure-valued strategies in bond markets

Marzia De Donno, Maurizio Pratelli

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

16 Citazioni (Scopus)


We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities. However, it turns out that this set of strategies is not complete, and the theory of cylindrical integration allows one to overcome this difficulty. Our approach generalizes the measure-valued strategies: this explains some known results, such as approximate completeness, but at the same time it also shows that either the optimal strategy is based on a finite number of bonds or it is not necessarily a measure-valued process
Lingua originaleEnglish
pagine (da-a)87-109
Numero di pagine23
RivistaFinance and Stochastics
Stato di pubblicazionePubblicato - 2004


  • bond markets, term structure of interest rates, measure-valued portfolio, cylindricalstochastic integration, covariance spaces, market completeness.


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