搜索结果: 1-2 共查到“货币银行学 consistency”相关记录2条 . 查询时间(0.072 秒)
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...
Fractional term structure models: No-arbitrage and consistency
Fractional term structure models No-arbitrage consistency
2010/12/13
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under pro...