Boyuan Ning

collaborators

3 papers

math.ST2026

Elasticity estimation via the CKLS--CIR transform for small-noise CEV-type diffusions

Boyuan Ning, Yasutaka Shimizu

We construct a feasible two-step estimator for the elasticity parameter in small-noise CEV-type diffusions. Under joint small-noise and high-frequency asymptotics, we establish its…

math.PR2025

From CKLS Process to CIR-type Process: Using a Twice-differentiable Mapping and Generalized Girsanov's Theorem

Boyuan Ning, Yasutaka Shimizu

We construct a twice-differentiable mapping $T : R_{+} \to R_{+}$ satisfying $T^{'} (x) x^{k} = L T (x)$ for a given constant $L$ and apply it to the CKLS short-rate process…

math.ST2025

Estimation of the elasticity for CKLS model from high-frequency observations

Boyuan Ning, Yasutaka Shimizu

We investigate parametric estimation of the elasticity parameter in the CKLS diffusion based on high-frequency data. First, we transform the CKLS diffusion to a CIR-type one via a…