A theory of stochastic integration for bond markets

被引：13
|
作者：
De Donno, M [1 ]
Pratelli, M [1 ]
机构：
[1] Univ Pisa, Dipartimento Matemat, I-56127 Pisa, Italy
来源：
ANNALS OF APPLIED PROBABILITY | 2005年 / 15卷 / 04期
关键词：
infinite-dimensional stochastic integration; convergence of semimartingales; bond market;
D O I：
10.1214/105051605000000548
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：2773 / 2791
页数：19
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