Incompleteness of the bond market with L\'evy noise under the physical measure

Micha{\l} Barski

Papers from arXiv.org

Abstract: The problem of completeness of the forward rate based bond market model driven by a L\'evy process under the physical measure is examined. The incompleteness of market in the case when the L\'evy 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 is presented and the corresponding integral representation of local martingales is proven.

Date: 2015-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Advances in Mathematics of Finance, Banach Center Publications, vol. 104, str. 61-83; (2015)

Downloads: (external link)
http://arxiv.org/pdf/1512.03963 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.03963

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().