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.
Citation
M. De Donno. M. Pratelli. "A theory of stochastic integration for bond markets." Ann. Appl. Probab. 15 (4) 2773 - 2791, November 2005. https://doi.org/10.1214/105051605000000548
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