On arbitrage and Markovian short rates in fractional bond markets

DOI10.1016/J.SPL.2004.10.008zbMath1060.60083OpenAlexW2047162656MaRDI QIDQ1767760

Pavel V. Gapeev

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

zbMATH Keywords

fractional Brownian motionterm structure of interest ratesarbitrage opportunityHeath-Jarrow-Morton approachpathwise stochastic integrationaverage risk neutral measureBond market modelfundamental martingaleprediction formula

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (2)

Fractional term structure models: No-arbitrage and consistency ⋮ Markovian short rates in multidimensional term structure Lévy models

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