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