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L. C. G. Rogers, “Arbitrage with Fractional Brownian Motion,” Mathematical Finance, Vol. 7, No. 1, 1997, pp. 95-105.
http://dx.doi.org/10.1111/1467-9965.00025

has been cited by the following article:

• TITLE: Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model

  AUTHORS: Ruili Hao, Yonghui Liu, Shoubai Wang

  KEYWORDS: Credit Default Swap; Bond; Contagious Risk; Fractional Vasicek Interest Rate Model; Looping Default

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.1, January 10, 2014

  ABSTRACT: This paper discusses the pricing problem of credit default swap in the fractional Brownian motion environment. As credit default swap is exposed to both the interest rate risk and the default risk, we assume that the default intensity of a firm depends on the stochastic interest rate and the default states of counterparty firms. The interest rate risk is reflected by the fractional Vasicek interest rate model. We model the firm’s default intensity under the looping default model and derive the pricing formulas of risky bonds and credit default swap.