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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 이준희 | - |
| dc.contributor.author | 김윤태 | - |
| dc.date.available | 2018-05-10T15:32:53Z | - |
| dc.date.created | 2018-04-17 | - |
| dc.date.issued | 2009 | - |
| dc.identifier.issn | 2287-7843 | - |
| dc.identifier.uri | http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/16179 | - |
| dc.description.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. | - |
| dc.publisher | 한국통계학회 | - |
| dc.relation.isPartOf | Communications for Statistical Applications and Methods | - |
| dc.subject | Fractional Brownian motion | - |
| dc.subject | HJM | - |
| dc.subject | wick Integral | - |
| dc.subject | Malliavin calculus | - |
| dc.subject | long memory | - |
| dc.title | No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion | - |
| dc.type | Article | - |
| dc.type.rims | ART | - |
| dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.16, no.4, pp.639 - 645 | - |
| dc.identifier.kciid | ART001365524 | - |
| dc.description.journalClass | 2 | - |
| dc.citation.endPage | 645 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 639 | - |
| dc.citation.title | Communications for Statistical Applications and Methods | - |
| dc.citation.volume | 16 | - |
| dc.contributor.affiliatedAuthor | 이준희 | - |
| dc.subject.keywordAuthor | Fractional Brownian motion | - |
| dc.subject.keywordAuthor | HJM | - |
| dc.subject.keywordAuthor | wick Integral | - |
| dc.subject.keywordAuthor | Malliavin calculus | - |
| dc.subject.keywordAuthor | long memory | - |
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Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)