Negative volatility for a 2-dimensional square root SDE

Details Negative volatility for a 2-dimensional square root SDE Negative volatility for a 2-dimensional square root SDE

2008-07-08

arxiv.org/abs/0807.1224v3

Mathematics

Probability

15 pages, 0 figures

Scientific paper

In affine term structure models the short rate is modelled as an affine transformation of a multi-dimensional square root process. Sufficient conditions to avoid negative volatility factors are the multivariate Feller conditions. We will prove their necessity for a 2-dimensional square root SDE with one volatility factor by presenting a methodology based on measure transformations and solving linear systems of ordinary differential equations.

Affiliated with

Also associated with

No associations

Rating

Negative volatility for a 2-dimensional square root SDE does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Negative volatility for a 2-dimensional square root SDE, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Negative volatility for a 2-dimensional square root SDE will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-268702