We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition...

We consider a financial market in which the discounted price process S is an ℝd-valued semimartingale with bounded jumps, and the variance-optimal martingale measure (VOMM) Qopt is only known to be a signed measure. We give a backward semimartingale equation (BSE) and show that the density...