TY  - JOUR
AB  - 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. For this reason. it is very hard to apply such processes for asset price modelling.Without using Ito formula, we investigate the IBm interest rate theory‘ We obtain a pure discount bond price. and Greeks by using Malllavin calculus.
VL  - 16
IS  - 1
SN  - 2713-6647
DO  - 10.1108/JDQS-01-2008-B0002
UR  - https://doi.org/10.1108/JDQS-01-2008-B0002
AU  - Rhee Joon Hee
PY  - 2008
Y1  - 2008/01/01
TI  - Fractal Interest Rate Model without Ito Formula
T2  - Journal of Derivatives and Quantitative Studies
PB  - Emerald Publishing Limited
SP  - 21
EP  - 48
Y2  - 2024/09/21
ER  -