On incompleteness of bond markets with infinite number of random factors

Micha{\l} Barski, Jacek Jakubowski and Jerzy Zabczyk

Papers from arXiv.org

Abstract: The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath-Jarrow-Morton framework is studied. It is proved that the market is not complete. A construction of a bounded contingent claim, which can not be replicated, is provided.

Date: 2008-09, Revised 2016-01
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Published in Mathematical Finance, (2011), 21, 3, pp. 541-556

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