A theory of stochastic integration for bond markets

Details A theory of stochastic integration for bond markets A theory of stochastic integration for bond markets

2006-02-23

arxiv.org/abs/math/0602532v1

Annals of Applied Probability 2005, Vol. 15, No. 4, 2773-2791

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051605000000548 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051605000000548

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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