On arbitrage and Markovian short rates in fractional bond markets (Q1767760)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On arbitrage and Markovian short rates in fractional bond markets |
scientific article |
Statements
On arbitrage and Markovian short rates in fractional bond markets (English)
0 references
8 March 2005
0 references
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.
0 references
Bond market model
0 references
term structure of interest rates
0 references
Heath-Jarrow-Morton approach
0 references
fractional Brownian motion
0 references
fundamental martingale
0 references
prediction formula
0 references
average risk neutral measure
0 references
pathwise stochastic integration
0 references
arbitrage opportunity
0 references
0 references
0 references
0 references
