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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 9. Integrated Square-Root Process. Let c03-math-1048 be a probability space and let c03-math-1049 be a standard Wiener process. Suppose c03-math-1050 follows the CIR model with SDE
    equation

    where c03-math-1051, c03-math-1052 and c03-math-1053 are constants. We consider the integral

    equation

    as the integrated square-root process of c03-math-1054 up to time c03-math-1055 from initial time c03-math-1056, c03-math-1057.

    Show that for , , , the process ...

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