12 citations · 16 across the 14 of their papers we have counts for
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math.PR2008
Completeness of bond market driven by Lévy process
Michał Barski, Jerzy Zabczyk
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 ma…
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…