For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
Solution of the extended CIR term structure and bond option valuation.Math
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Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.
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Boundary behaviour of the Volterra square-root process
For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
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Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration
Embeds G2++ interest rate calibration into nonlinear regression to produce weighted hat matrix, influence functions, and functional delta method diagnostics, applied to 2016-2025 Euro ATM caps data.