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… (More)
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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
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
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
  • Yuliia Mishura, Yevheniia Munchak
  • 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
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
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
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
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
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
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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