Taflin, Erik - In: Finance and Stochastics 9 (2005) 3, pp. 429-452
A general class, introduced in [7], of continuous time bond markets driven by a standard cylindrical Brownian motion <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\bar{W}$</EquationSource> </InlineEquation> in <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\ell^{2}$</EquationSource> </InlineEquation> is considered. We prove that there always exist non-hedgeable random variables in the space <InlineEquation ID="Equ3"> <EquationSource Format="TEX">$\textsf{D}_{0}=\cap_{p \geq 1}L^{p}$</EquationSource> </InlineEquation> and that <InlineEquation ID="Equ4"> <EquationSource...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>
