A theory of stochastic integration for bond markets
Probability
2008-12-10 v1 Computational Finance
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.
Cite
@article{arxiv.math/0602532,
title = {A theory of stochastic integration for bond markets},
author = {M. De Donno and M. Pratelli},
journal= {arXiv preprint arXiv:math/0602532},
year = {2008}
}
Comments
Published at http://dx.doi.org/10.1214/105051605000000548 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)