A theory of stochastic integration for bond markets

Citation
Donno, M. De et M. Pratelli,, A theory of stochastic integration for bond markets, Annals of applied probability , 15(4), 2005, pp. 2773-2791
ISSN journal
10505164
Volume
15
Issue
4
Year of publication
2005
Pages
2773 - 2791
Database
ACNP
SICI code
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.