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Cox–Ingersoll–Ross model
Known as:
Square root process
, Cir process
, CIR model
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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…
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Related topics
Related topics
10 relations
Chen model
Discretization
Heston model
Hull–White model
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2020
2020
Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model
C. Kelly
,
G. Lord
,
Heru Maulana
arXiv.org
2020
Corpus ID: 211259276
We introduce an adaptive Euler method for the approximate solution of the Cox-Ingersoll-Ross short rate model. An explicit…
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2013
2013
Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model
L. Teng
,
Matthias Ehrhardt
,
M. Günther
International Journal of Computational…
2013
Corpus ID: 29738699
The Cox–Ingersoll–Ross (CIR) model has been a benchmark in finance for many years because of its analytical and structural…
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2010
2010
Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters
Giuliano De Rossi
2010
Corpus ID: 189952679
This paper shows how to build in a computationally efficient way a maximum simulated likelihood procedure to estimate the Cox…
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2007
2007
The Weakly Identifying System for Doorway Monitoring
C. Jenkins
2007
Corpus ID: 41972223
THE WEAKLY IDENTIFYING SYSTEM FOR DOORWAY MONITORING by Christopher James Jenkins Department of Computer Science Duke University…
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2005
2005
Statistical Inference in Cox-Ingersoll-Ross Model
X. Ang
2005
Corpus ID: 124066742
In this paper, the problem of estimating coefficients in Cox-Ingersoll-Ross model are studied. The moment estimates of the…
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Review
2004
Review
2004
How does the galaxy work? : a galactic tertulis with Don Cox and Ron Reynolds
E. Alfaro
,
Enrique Pérez López
,
J. Franco
2004
Corpus ID: 118173859
The Milky Way: Four Centuries of Discovery of the Galaxy.- Hi Clouds Beyond the Galactic Disk.- The Wham Northern Sky Survey and…
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2003
2003
The Wiener chaos expansion for the Cox-Ingersoll-Ross model
M. Grasselli
,
T. Hurd
2003
Corpus ID: 8516906
In this paper we recast the Cox‐Ingersoll‐Ross model of interest rates into the chaotic representation recently introduced by…
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2003
2003
Uso do laser arseneto de gálio (904nm) após excisão artroplástica da cabeça do fêmur em cães
J. M. Matera
,
Angelica Cecilia Tatarunas
,
S. Oliveira
2003
Corpus ID: 57272138
PURPOSE: Evaluate the action of the Gallium Arsenide semiconductor laser in the post-operative evolution in dogs after the…
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1998
1998
Yield option pricing in the generalized Cox-Ingersoll-Ross Model.
G. Deelstra
1998
Corpus ID: 53400720
In this paper, we provide pricing formulae for both European and American yield options in the generalized Cox-Ingersoll-Ross…
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Review
1996
Review
1996
Trellis code design for correlated fading and achievable rates for tomlinson-harashima precoding
R. Wesel
1996
Corpus ID: 14844440
The increased data rates and reliability required to support emerging multimedia applications require new communications…
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