Short rates in the quasi-Gaussian HJM model with CEV type volatility explode in finite time with positive probability for exponents in (1/2,1] and almost surely for sufficiently large initial rates.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Explosion in the quasi-Gaussian HJM model
Short rates in the quasi-Gaussian HJM model with CEV type volatility explode in finite time with positive probability for exponents in (1/2,1] and almost surely for sufficiently large initial rates.