arXiv 0807.12242008-07math.PR

Negative volatility for a 2-dimensional square root SDE

Peter Spreij, Enno Veerman

备注：: 15 pages, 0 figures

英文摘要：

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.

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