Show that the bond price for the CoxIngersollRoss model [see (7.2.32a,b)] is a decreasing convex function of
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Show that the bond price for the Cox–Ingersoll–Ross model [see (7.2.32a,b)] is a decreasing convex function of the short rate and a decreasing function of time to maturity. Further, show that the bond price is a decreasing convex function of the mean short rate level γ and an increasing concave function of the speed of adjustment α if r(t) > γ . What would be the effects on the bond price when the short rate variance ρ2 and the market price of risk λ increase?
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