The term structure of interest rates as a random field: a stochastic integration approach

Risultato della ricerca: Contributo in libroContributo a convegno

Abstract

We investigate the term structure of zero coupon bonds, in the case where the forward rate evolves as a Wiener sheet. We introduce a definition of stochastic integral with respect to a continuous semimartingale with values in the set of continuous functions and characterize the dynamics of the zero coupon bonds. We also define a notion of generalized strategy, in order to admit the (theoretical) possibility of investing in a continuum of bonds. Finally we study the problem of utility maximization from terminal wealth in this setting and deduce a “mutual fund” theorem
Lingua originaleEnglish
Titolo della pubblicazione ospiteRitsumeikan International Symposium on Stoch. Proc. and Appl. to Math. Fin
Pagine27-52
Numero di pagine26
DOI
Stato di pubblicazionePubblicato - 2004
EventoInternational Symposium Stochastic Processes and Application to Mathematical Finance - Ritsumeikan University (Japan)
Durata: 5 mar 20039 mar 2003

Convegno

ConvegnoInternational Symposium Stochastic Processes and Application to Mathematical Finance
CittàRitsumeikan University (Japan)
Periodo5/3/039/3/03

Keywords

  • Infinite-dimensional stochastic integration, Wiener sheet, bond market, term structure of interest rates, generalized strategy, utility maximization.

Fingerprint Entra nei temi di ricerca di 'The term structure of interest rates as a random field: a stochastic integration approach'. Insieme formano una fingerprint unica.

Cita questo