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ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS

ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS 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 cannot be replicated, is provided. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Mathematical Finance Wiley

ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS

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References (22)

Publisher
Wiley
Copyright
© 2010 Wiley Periodicals, Inc.
ISSN
0960-1627
eISSN
1467-9965
DOI
10.1111/j.1467-9965.2010.00438.x
Publisher site
See Article on Publisher Site

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 cannot be replicated, is provided.

Journal

Mathematical FinanceWiley

Published: Jul 1, 2011

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