On arbitrage and Markovian short rates in fractional bond markets

Statistics and Probability Letters

Volumn 70, Issue 3, 2004, Pages 211-222

  Gapeev, Pavel V ^a  

^a TRAPEZNIKOV INSTITUTE OF CONTROL SCIENCES   (Russian Federation)

Author keywords

Arbitrage opportunity; Average risk neutral measure; Bond market model; Fractional Brownian motion; Fundamental martingale; Heath Jarrow Morton approach; Pathwise stochastic integration; Prediction formula; Term structure of interest rates

Indexed keywords

EID: 10644280696     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2004.10.008     Document Type: Article

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