We study a bond market model and related term structure of interest rates driven by a fractional Brownian motion with self-similarity parameter H ∈ (1/2, 1). We present a criterion on the deterministic forward rate volatility under which the short rate process is Markovian and construct an admissible self-financing portfolio realizing an arbitrage opportunity. 1
We propose an analytical approximation of the term structure of interest rates under general diffusi...
This paper considers interest rate term structure models in a market attracting both continuous and ...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
In this paper a bond market model and the related term structure of interest rates are studied where...
As a generalization of the Gaussian Heath-Jarrow-Morton term structure model, we present a new class...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
This paper develops a term-structure model in which investors with preferences for specific maturiti...
In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range d...
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Browni...
This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the lim...
In the setting of the Heath-Jarrow-Morton model this paper presents sufficient conditions to assure...
Hölzermann J. Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility...
The paper revisits dynamic term structure models (DTSMs) and pro-poses a new way in dealing with the...
We compare short rate diffusion models with respect to their implications for term structure movemen...
We propose an analytical approximation of the term structure of interest rates under general diffusi...
This paper considers interest rate term structure models in a market attracting both continuous and ...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
We study a bond market model and related term structure of interest rates where prices of zero coupo...
In this paper a bond market model and the related term structure of interest rates are studied where...
As a generalization of the Gaussian Heath-Jarrow-Morton term structure model, we present a new class...
An interest rate model is described in which randomness in the short-term interest rate is due entir...
This paper develops a term-structure model in which investors with preferences for specific maturiti...
In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range d...
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Browni...
This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the lim...
In the setting of the Heath-Jarrow-Morton model this paper presents sufficient conditions to assure...
Hölzermann J. Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility...
The paper revisits dynamic term structure models (DTSMs) and pro-poses a new way in dealing with the...
We compare short rate diffusion models with respect to their implications for term structure movemen...
We propose an analytical approximation of the term structure of interest rates under general diffusi...
This paper considers interest rate term structure models in a market attracting both continuous and ...
We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applic...
DOI
Add to ORKG