Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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No Arbitrage Condition for Multi-Facor HJM Model under the Fractional Brownian Motion

  • Rhee, Joon-Hee (Department of Business and Administration, Soong-Sil University) ;
  • Kim, Yoon-Tae (Department of Statistics, Hallym University)
  • Published : 2009.07.31
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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.

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References

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