Negative volatility for a 2-dimensional square root SDE

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dc.creatorSpreij, Peter
dc.creatorVeerman, Enno
dc.date2008-07-08
dc.date2008-11-25
dc.date.accessioned2026-07-07T10:20:24Z
dc.date.available2026-07-07T10:20:24Z
dc.descriptionIn 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.
dc.description15 pages, 0 figures
dc.identifierhttps://arxiv.org/abs/0807.1224
dc.identifierhttp://arxiv.org/abs/0807.1224
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/174839
dc.subjectProbability
dc.titleNegative volatility for a 2-dimensional square root SDE
dc.typetext

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