%0 Journal Article
%T Completeness of bond market driven by L¨¦vy process
%A Michal Baran
%A Jerzy Zabczyk
%J Mathematics
%D 2008
%I arXiv
%X The completeness problem of the bond market model with noise given by the independent Wiener process and Poisson random measure is studied. Hedging portfolios are assumed to have maturities in a countable, dense subset of a finite time interval. It is shown that under some assumptions the market is not complete unless the support of the Levy measure consists of a finite number of points. Explicit constructions of contingent claims which can not be replicated are provided.
%U http://arxiv.org/abs/0812.1796v1