A theory of stochastic integration for bond markets

• 成果类型: Article
• 署名作者: De Donno, M; Pratelli, M
• 署名单位: University of Pisa
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051605000000548
• 发表日期: 2005
• 页码: 2773-2791
• 关键词: fundamental theorem

摘要

We introduce a theory of stochastic integration with respect to a family of sernimartingales 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.