Classification and calibration of affine models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $$dR(t)=F(R(t))dt+\sum _{i=1}^d{G}_i(R(t-))d{Z}_i(t),R(0)=x\ge 0,t>0,$$ with deterministic fu…