2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2008
Negative volatility for a 2-dimensional square root SDE
Peter Spreij, Enno Veerman
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 volatilit…
q-fin.ST2008★ 2 cited
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Peter Spreij, Enno Veerman, Peter Vlaar
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuou…