2 papers
math.PR2025
From CKLS Process to CIR-type and OU-type Processes: Using a Twice-differentiable Mapping and Generalized Girsanov's Theorem
Boyuan Ning, Yasutaka Shimizu
We study a twice-differentiable transformation applied to a CKLS-type short-rate model with linear drift and power-type diffusion. The transformation yields a new process whose dif…
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…