Bond market completeness under stochastic strings with distribution-valued strategies-Reference-Cited by-同舟云学术

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Bond market completeness under stochastic strings with distribution-valued strategies

Published:2022-02-01 Issue:2 Volume:22 Page:197-211
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bueno-Guerrero Alberto¹^ORCID,Moreno Manuel²^ORCID,Navas Javier F.³^ORCID

Affiliation:

1. IES Francisco Ayala, Avenida Francisco Ayala, s/n, Granada 18014, Spain

2. Department of Economic Analysis and Finance, University of Castilla-La Mancha, Cobertizo San Pedro Mártir s/n, Toledo 45071, Spain

3. Department of Financial Economics and Accounting, Universidad Pablo de Olavide, Ctra. de Utrera, Km. 1, Sevilla 41013, Spain

Funder

Ministerio de Economia y Competitividad

Consejería de Innovación, Ciencia y Empresa, Junta de Andalucía

Consejería de Educación, Cultura y Deportes, Junta de Comunidades de Castilla-La Mancha

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.2018483

Reference31 articles.

1. STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE-DIMENSIONAL FORWARD RATES AND OPTION PRICING

2. ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS

3. Arbitrage Theory in Continuous Time

4. Towards a general theory of bond markets

5. Bond Market Structure in the Presence of Marked Point Processes

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1. Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility;Research in International Business and Finance;2024-06

2. Revisiting Elastic String Models of Forward Interest Rates;SSRN Electronic Journal;2024

3. Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model;Risks;2022-09-27

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