Volatility Models with Explosive Drifts

Giulia Di Nunno (), Yuliya Mishura () and Anton Yurchenko-Tytarenko ()
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Giulia Di Nunno: University of Oslo, Department of Mathematics
Yuliya Mishura: Taras Shevchenko National University of Kyiv, Department of Probability Theory, Statistics and Actuarial Mathematics
Anton Yurchenko-Tytarenko: Statkraft Energi AS

Chapter 4 in Volterra Volatility Models, 2026, pp 121-140 from Springer

Abstract: Abstract In this chapter, we build on the explosive drift mechanism introduced earlier and define a class of generalized Cox–Ingersoll–Ross (GCIR) and Chan–Karolyi–Longstaff–Sanders (GCKLS) processes driven by Hölder-continuous noises. We discuss existence, uniqueness, and moment bounds for these processes as well as examine the behavior of these models under extremely rough driving noises.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-032-26576-0_4

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DOI: 10.1007/978-3-032-26576-0_4

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