Donno, Marzia; Pratelli, Maurizio - In: Finance and Stochastics 8 (2004) 1, pp. 87-109
We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities....