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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
Ho-Lee Model
Hull and White Model
Vasicek Model
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
Construction of Stochastic Integrals
Fubini's Theorem
Relation to the Space MGp(0,T)