On arbitrage and Markovian short rates in fractional bond markets
type: Item
instance of: scholarly article
title: On arbitrage and Markovian short rates in fractional bond markets
zbMATH Open document ID: 1060.60083
published in: Statistics \& Probability Letters
publication date: 2005-03-08T00:00:00Z
review text: A bond market model and related term structure of interest rates driven by a fractional Brownian motion with self-similarity parameter \(H \in (1/2, 1)\) are studied. A criterion on the deterministic forward rate volatility under which the short rate process is Markovian is presented and an admissible self-financing portfolio realizing an arbitrage opportunity is constructed.
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2142315
zbMATH Keywords: Bond market model
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: Heath-Jarrow-Morton approach
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: fundamental martingale
zbMATH Keywords: prediction formula
zbMATH Keywords: average risk neutral measure
zbMATH Keywords: pathwise stochastic integration
zbMATH Keywords: arbitrage opportunity
author: Pavel Gapeev
reviewed by: Pavel Gapeev
MaRDI profile type: Publication
full work available at URL: j.spl.2004.10.008
OpenAlex ID: W2047162656
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DOI: 10.1016/J.SPL.2004.10.008
description: scientific article; zbMATH DE number 2142315