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http://dx.doi.org/10.5351/CKSS.2009.16.4.639

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)
Publication Information
Communications for Statistical Applications and Methods / v.16, no.4, 2009 , pp. 639-645 More about this Journal
Abstract
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.
Keywords
Fractional Brownian motion; HJM; wick Integral; Malliavin calculus; long memory;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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