Harms, Philipp; Stefanovits, David; Teichmann, Josef; … - arXiv.org - 2015
The analytical tractability of affine (short rate) models, such as the Vasi\v{c}ek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit...