Suppose that the market price of risk of the short rate is 1 / r +
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Suppose that the market price of risk of the short rate is λ1/ √r + λ2 √r (with both λ1 and λ2 negative). Show that if the risk-neutral process for the short rate is the one assumed by CIR, the real-world process has the same functional form as the risk-neutral process. Derive the relationship between (a) the real-world reversion rate and the risk-neutral reversion rate and (b) the real-world reversion level and the risk-neutral reversion level.
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