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- Title
COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS.
- Authors
BARSKI, MICHAŁ; ZABCZYK, JERZY
- Abstract
The completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with maturities in a countable, dense subset of a finite time interval. It is shown that under natural assumptions the market is not complete unless the support of the Lévy measure consists of a finite number of points. Explicit constructions of contingent claims which cannot be replicated are provided.
- Subjects
BOND insurance; FINANCIAL markets; BOND market; STOCHASTIC processes; CORPORATE debt financing
- Publication
International Journal of Theoretical & Applied Finance, 2010, Vol 13, Issue 5, p635
- ISSN
0219-0249
- Publication type
Article
- DOI
10.1142/S0219024910005942