Incompleteness of the bond market with Lévy noise under the physical measure

• Autorzy: Michał Barski
• Języki publikacji: EN

Abstrakty

EN

The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.

Kategorie tematyczne

• 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
• 91B70: Stochastic models

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 104
• Numer: 1
• Strony: 61-84

Daty

wydano

2015

Twórcy

autor

Michał Barski

• Faculty of Mathematics and Computer Science, University of Leipzig, Augustusplatz 10, 04109 Leipzig, Germany
• Faculty of Mathematics, Cardinal Stefan Wyszyński University in Warsaw, Wóycickiego 1/3, 01-938 Warsaw, Poland

Identyfikatory

DOI

10.4064/bc104-0-3