In the Reading 34, regarding to the Hull and White approach.
The bunching is defined to be the tail events tend to happen in close succession.
Later, Hull and White Measure claims its advantage is to greatly reduces bunching.
However, this is my question:
I think bunching is a nice feature to have. People try so hard to incorporate Regime swtiching model just to keep this bunching effect. Why do they argue removing bunching is an advantage?
The bunching is defined to be the tail events tend to happen in close succession.
Later, Hull and White Measure claims its advantage is to greatly reduces bunching.
However, this is my question:
I think bunching is a nice feature to have. People try so hard to incorporate Regime swtiching model just to keep this bunching effect. Why do they argue removing bunching is an advantage?