9 citations · 21 across the 15 of their papers we have counts for
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q-fin.CP2009
Defaultable bonds with an infinite number of Levy factors
Jacek Jakubowski, Mariusz Nieweglowski
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. Th…
q-fin.CP2008★ 1 cited
On incompleteness of bond markets with infinite number of random factors
Michał Barski, Jacek Jakubowski, Jerzy Zabczyk
The completeness of a bond market model with infinite number of sources of randomness on a finite time interval in the Heath-Jarrow-Morton framework is studied. It is proved that t…