Fractional term structure models: No-arbitrage and consistency
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Publication:835070
DOI10.1214/08-AAP586zbMath1188.91229arXiv0802.1288MaRDI QIDQ835070
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
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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