BARSKI, MICHAŁ; ZABCZYK, JERZY - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 635-656
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...