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Fractional term structure models: No-arbitrage and consistency - MaRDI portal

Fractional term structure models: No-arbitrage and consistency (Q835070)

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Fractional term structure models: No-arbitrage and consistency
scientific article

    Statements

    title
    Fractional term structure models: No-arbitrage and consistency (English)
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    author
    Alberto Ohashi
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    publication date
    27 August 2009
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    zbMATH Keywords
    fractional Brownian motion
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    interest rate models
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    stochastic PDEs
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    invariant manifolds
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    cites work
    Q4279819
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    Q4354699
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    Q2754791
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    Q4652206
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    Q3141895
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    Q4301585
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    Identifiers

    DOI
    10.1214/08-AAP586
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    Mathematics Subject Classification ID
    91G30
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    60H30
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    60J70
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    60G18
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    zbMATH DE Number
    5599234
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    arXiv ID
    0802.1288
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