Fractional term structure models: No-arbitrage and consistency (Q835070)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5599234
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fractional term structure models: No-arbitrage and consistency |
scientific article; zbMATH DE number 5599234 |
Statements
Fractional term structure models: No-arbitrage and consistency (English)
0 references
27 August 2009
0 references
fractional Brownian motion
0 references
interest rate models
0 references
stochastic PDEs
0 references
invariant manifolds
0 references
0 references
0 references
0 references
0.8120523691177368
0 references
0.8041428327560425
0 references
0.7901298403739929
0 references
0.7812519073486328
0 references
