# Cox–Ingersoll–Ross model

## Papers overview

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2017

2017

- 2017

This paper considers a portfolio optimization problem with delay. The finance market is consisted of one risk-free asset and one… (More)

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2016

2016

- SIAM J. Financial Math.
- 2016

The economic incentive to prepay a mortgage depends on the yield curve of interest rates. If interest rates of various terms are… (More)

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2016

2016

- Int. J. General Systems
- 2016

This paper is concerned with the parameter estimation problem for Cox–Ingersoll–Ross model based on discrete observation. First… (More)

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2016

2016

- 2016

In this paper, we consider the Cox–Ingersoll–Ross (CIR) process in the regime where the process does not hit zero. We construct… (More)

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2013

2013

- 2013

The Doss-Sussmann (DS) approach is used for uniform simulation of the CoxIngersoll-Ross (CIR) process. The DS formalism allows to… (More)

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2013

2013

- Int. J. Comput. Math.
- 2013

The Cox-Ingersoll-Ross model (CIR model) [2] has been a benchmark in finance for many years because of its analytical and… (More)

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2010

2010

- J. Systems Science & Complexity
- 2010

Abstract This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross (CIR) model under Pozdnyakov and Steele… (More)

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2006

2006

- 2006

In this paper, we provide pricing formulae for both European and American yield options in the generalized Cox-Ingersoll-Ross… (More)

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2004

2004

- 2004

In this paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by… (More)

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2003

2003

- 2003

In this paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by… (More)

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