2 papers
q-fin.PR2025
Explicit local volatility formula for Cheyette-type interest rate models
Alexander Gairat, Vyacheslav Gorovoy, Vadim Shcherbakov
This paper addresses the approximation of the local volatility function in the Cheyette interest rate model. Its main contribution is an explicit analytical formula for approximati…
math.PR2025
A diffusion limit for Markov chains with log-linear interaction on a graph
Anatolii Puhalskii, Vadim Shcherbakov
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values…