• Communications for Statistical Applications and Methods
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• 제17권1호
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• pp.47-54
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• 2010

By using the white noise theory for fractional Brownian sheet, we give new representations of the Wick integrals of various types with respect to fractional Brownian sheet with Hurst parameters $H_1,H_2{\in}$(0, 1).

• 재무관리연구
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• 제25권1호
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• pp.85-108
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• 2008

본 연구는 Bender(2003), Duncan et al.(2000)등의 Wick 적분을 이용하여, fBm을 이자율모형의 불확실성으로 사용하였다. Affine 모형에 대표적인 CIR, Hull and White 모형, Quadratic 모형, 그리고 HJM 모형에 차례로 적용한 결과 이론적으로 새로운 결과를 얻었으며, 특히 새로운 확률측도(probability measure)를 정의하여, 할인채권의 옵션가격을 제시하였다.

• Communications for Statistical Applications and Methods
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• 제15권1호
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• pp.137-145
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• 2008

We present formulas for two types of cap pricing under fBm-HJM model reflecting the empirical long range dependence in the interest rate model. In particular, we propose a new approach to pricing the cap with the default risk.

• Communications for Statistical Applications and Methods
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• 제16권4호
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• pp.639-645
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• 2009

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.