Title of article :
On arbitrage and Markovian short rates in fractional bond markets
Author/Authors :
Pavel V. Gapeev، نويسنده ,
Issue Information :
فصلنامه با شماره پیاپی سال 2004
Pages :
12
From page :
211
To page :
222
Keywords :
Term structure ofinterest rates , Heath–Jarrow–Morton approach , FractionalBrownian motion , Prediction formula , Average risk neutral measure , Arbitrage opportunity , Fundamental martingale , Pathwise stochasticintegration , Bond market model
Journal title :
Statistics and Probability Letters
Serial Year :
2004
Journal title :
Statistics and Probability Letters
Record number :
140407
Link To Document :
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