On arbitrage and Markovian short rates in fractional bond markets
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Publication:1767760
DOI10.1016/j.spl.2004.10.008zbMath1060.60083OpenAlexW2047162656MaRDI QIDQ1767760
Publication date: 8 March 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.008
fractional Brownian motionterm structure of interest ratesarbitrage opportunityHeath-Jarrow-Morton approachpathwise stochastic integrationaverage risk neutral measureBond market modelfundamental martingaleprediction formula
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Related Items (2)
Fractional term structure models: No-arbitrage and consistency ⋮ Markovian short rates in multidimensional term structure Lévy models
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