By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the fractional Brownian sheet with arbitrary Hurst parameters H 1 , H 2 ∈ (0, 1).
We derive the formulas for single-factor Lévy type-bond pricing by incorporating the stochastic market price of risk, and find a sufficient condition of the market price of risk for producing the well-known affine class or the quadratic class.
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