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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion
- Issue Date
- 2009
- Publisher
- 한국통계학회
- Keywords
- Fractional Brownian motion; HJM; wick Integral; Malliavin calculus; long memory
- Citation
- Communications for Statistical Applications and Methods, v.16, no.4, pp.639 - 645
- Volume
- 16
- Number
- 4
- Start Page
- 639
- End Page
- 645
- ISSN
- 2287-7843
- 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.
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Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)