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Cox–Ingersoll–Ross model

Known as: Square root process, Cir process, CIR model 
In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of "one factor model… Expand
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2019
2019
The investigation of the affine term structure of interest rates started in Chap. 3 continues with the use of yield curves and… Expand
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2016
2016
This paper is concerned with the parameter estimation problem for Cox–Ingersoll–Ross model based on discrete observation. First… Expand
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Highly Cited
2013
Highly Cited
2013
We study the estimation of a stable Cox–Ingersoll–Ross model, which is a special subcritical continuous-state branching process… Expand
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2010
2010
This paper shows how to build in a computationally efficient way a maximum simulated likelihood procedure to estimate the Cox… Expand
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Highly Cited
2002
Highly Cited
2002
Three processes reflecting persistence of volatility are initially formulated by evaluating three Levy processes at a time change… Expand
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Highly Cited
1997
Highly Cited
1997
In geometrical camera calibration the objective is to determine a set of camera parameters that describe the mapping between 3-D… Expand
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Highly Cited
1996
Highly Cited
1996
This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate… Expand
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Highly Cited
1988
Highly Cited
1988
A machine is shown for conditioning a tire carcass for recapping wherein the tire is rotated while the crown is rasped to size… Expand
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Highly Cited
1979
Highly Cited
1979
This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many… Expand
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Highly Cited
1964
Highly Cited
1964
It is suggested that the economics of present large-scale scientific computers could benefit from a greater investment in… Expand
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