Communications for Statistical Applications and Methods

  • 제16권4호
  • /
  • Pages.639-645
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  • 2009
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion

  • Rhee, Joon-Hee (Department of Business and Administration, Soong-Sil University) ;
  • Kim, Yoon-Tae (Department of Statistics, Hallym University)
  • 발행 : 2009.07.31
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초록

Fractional Brwonian motion(fBm) has properties of behaving tails and exhibiting long memory while remaining Gaussian. In particular, it is well known that interest rates show some long memories and non-Markovian. We present no aribitrage condition for HJM model under the multi-factor fBm reflecting the long range dependence in the interest rate model.

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참고문헌

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