Incompleteness of the bond market with Lévy noise under the physical measure
Volume 104 / 2015
Banach Center Publications 104 (2015), 61-84
MSC: 91B26, 91B70.
DOI: 10.4064/bc104-0-3
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 are presented and the corresponding integral representation of local martingales is proven.
