Fractional term structure models: No-arbitrage and consistency

DOI10.1214/08-AAP586zbMath1188.91229arXiv0802.1288MaRDI QIDQ835070

Alberto Ohashi

Publication date: 27 August 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.1288

zbMATH Keywords

fractional Brownian motioninvariant manifoldsstochastic PDEsinterest rate models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Self-similar stochastic processes (60G18) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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