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ArticleBond market completeness and attainable contingent claims

Erik Taflin2005

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Articlegreen2005

Bond market completeness and attainable contingent claims

44 citations·0/0 files stored·Finance and Stochastics

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

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References

1999Continuous Martingales and Brownian Motion 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1998Methods of Mathematical Finance 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)1997Bond Market Structure in the Presence of Marked Point Processes 2005A theory of bond portfolios 2004A characterization of hedging portfolios for interest rate contingent claims 2004On the use of measure-valued strategies in bond markets

Cited by

2010ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS 2010Generalized integrands and bond portfolios: Pitfalls and counter examples 2010COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS

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Year2005

Typearticle

Published2005-06-06

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-005-0156-9

openalex_workW2028075598

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