A Comparative Study of the Vasicek and the CIR Model of the Short Rate

Abstract

In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.

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Cite this paper

@inproceedings{Zeytun2007ACS, title={A Comparative Study of the Vasicek and the CIR Model of the Short Rate}, author={Serkan Zeytun and Ankit Gupta}, year={2007} }