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arXiv · 2205.00729

On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model

Emmanuel Coffie·Xuerong Mao·Frank Proske
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Abstract

Fractional Brownian motion with the Hurst parameter $H<\frac{1}{2}$ is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a fractional Brownian motion with $H<\frac{1}{2}$ and establish theoretical properties such as an existence-and-uniqueness theorem, regularity in the sense of Malliavin differentiability and higher moments of the strong solutions.

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Emmanuel Coffie, Xuerong Mao, Frank Proske. 2022-05-02. On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model. https://arxiv.org/abs/2205.00729

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