On arbitrage and Markovian short rates in fractional bond markets
- Author
- GAPEEV, Pavel V1
[1] Russian Academy of Sciences, Institute of Control Sciences, Profsoyuznaya Str 65, 117997 Moscow, Russian Federation - Source
Statistics & probability letters. 2004, Vol 70, Num 3, pp 211-222, 12 p ; ref : 1 p.1/4
- CODEN
- SPLTDC
- ISSN
- 0167-7152
- Scientific domain
- Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- Russian
- Keyword (fr)
- Arbitrage Autosimilitude Intégrale stochastique Martingale Méthode statistique Prédiction Structure marché Taux intérêt Théorie probabilité 62M02 Approche Heath Jarrow Morton Mesure neutre risque moyen Modèle marché liaison Mouvement brownien fractionnaire
- Keyword (en)
- Arbitration Selfsimilarity Stochastic integral Martingale Statistical method Prediction Market structure Interest rate Probability theory Heath Jarrow Morton approach Average risk neutral measure Bond market model Fractional brownian motion
- Keyword (es)
- Autosimilitud Integral estocástica Martingale Método estadístico Predicción Estructura mercado Tasa interés Teoría probabilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16346537
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.spl.2004.10.008 
https://dx.doi.org/10.1016/j.spl.2004.10.008
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