A theory of stochastic integration for bond markets

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dc.creatorDe Donno, M.
dc.creatorPratelli, M.
dc.date2006-02-23
dc.date.accessioned2026-07-07T12:11:15Z
dc.date.available2026-07-07T12:11:15Z
dc.descriptionWe 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0602532
dc.identifierhttp://arxiv.org/abs/math/0602532
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 4, 2773-2791
dc.identifierdoi:10.1214/105051605000000548
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210166
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H05, 60G44 (Primary) 91B70 (Secondary)
dc.titleA theory of stochastic integration for bond markets
dc.typetext

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