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A theory of stochastic integration for bond markets

M. De Donno·M. Pratelli
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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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BibTeXRIS

M. De Donno, M. Pratelli. 2006-02-23. A theory of stochastic integration for bond markets. https://doi.org/10.1214/105051605000000548

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