André Herzwurm

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Cox-Ingersoll-Ross (CIR) processes are widely used in mathematical finance, e.g., as a model for interest rates or as the volatility process in the Heston model. CIR processes are unique strong solutions of particular scalar stochastic differential equations (SDEs) and take values in [0,∞[. These SDEs are of particular interest in the context of strong(More)
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