A theory of stochastic integration for bond markets

Marzia De Donno

23 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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.

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1994A general version of the fundamental theorem of asset pricing 1998Arbitrage Theory in Continuous Time 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1982Semimartingales 1997Towards a general theory of bond markets 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time 1994Couverture des actifs contingents et prix maximum

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