Work

A theory of stochastic integration for bond markets

Year: 2005

Type: article

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.

Source: The Annals of Applied Probability

DOI: 10.1214/105051605000000548

Authors: M. De Donno, M. Pratelli

Institution: University of Pisa

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2094650295

FWCI: 3.41

Cites: 22

Cited by: 23

Related to: 10