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Keywords: Fractional Brownian Motion
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Journal Articles
Fractal Interest Rate Model without Ito Formula
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2008) 16 (1): 21–48.
Published: 31 May 2008
...Joon Hee Rhee Empirical findings on interest rate dynamics imply that short rates show some long memories and non-Markovian. It is well-known that fractional Brownian motion (IBm) is a proper candidate for modelling this empirical phenomena. IBm. however. is not a semimartingale process...
