Hölzermann, Julian; Lin, Qian: Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. In: . Jg.613. 2019
Inhalt
- Introduction
- Model Framework
- Forward Rate Model
- Short Rate Dynamics
- Examples
- Conclusion
- Sublinear Expectations and G-Brownian Motion
- Sublinear Expectation Spaces
- G-Normal Distribution
- G-Brownian Motion
- Stochastic Integrals
- Quadratic Variation Process
- Processes in Gp(0,T) and Corresponding Properties