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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion
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 Title & Authors
No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion
Rhee, Joon-Hee; Kim, Yoon-Tae;
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 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;
 Language
English
 Cited by
 References
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