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arXiv · 1512.03963

Incompleteness of the bond market with Lévy noise under the physical measure

Michał Barski
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Abstract

The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy 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.

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Michał Barski. 2015-12-12. Incompleteness of the bond market with Lévy noise under the physical measure. https://arxiv.org/abs/1512.03963

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