Article2010

ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS

Michał Barski · Jacek Jakubowski · Jerzy Zabczyk

34 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath–Jarrow–Morton framework is studied. It is proved that the market is not complete. A construction of a bounded contingent claim, which cannot be replicated, is provided.

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1998Methods of Mathematical Finance 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1998Methods of Mathematical Finance 1998The fundamental theorem of asset pricing for unbounded stochastic processes 2007Stochastic Partial Differential Equations with Levy Noise 2004Financial Derivatives in Theory and Practice

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