WebCox, John C.; Ingersoll, Jonathan E.; Ross, Stephen A. \An Intertemporal General Equilibrium Model of Asset Prices" Econometrica, Vol. 53, No. 2 (March 1985), pp. 363 … WebThe Cox-Ingersoll-Ross model or CIR model for short, is the most commonly used model to model short-term interest rates. The model …
伯努利过程 - 维基百科，自由的百科全书
WebBcr 一 善 兰 ，r=T—t， 其中 是市场的风险价格． 2 利率演变模型 第 5期 郭君默等：Cox-Ingersoll-Ross债券定价模型的推广 2．1 利率演变模型 实际经济生活中由于中央银行的干预，长期利率 均值往往不是一个常数．即期利率是随机波动的，但政 府为了宏观调控的 ... In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives. It was … See more The CIR model specifies that the instantaneous interest rate $${\displaystyle r_{t}}$$ follows the stochastic differential equation, also named the CIR Process: where See more Under the no-arbitrage assumption, a bond may be priced using this interest rate process. The bond price is exponential affine in the interest rate: See more • Hull–White model • Vasicek model • Chen model See more A CIR process is a special case of a basic affine jump diffusion, which still permits a closed-form expression for bond prices. Time varying … See more • Hull, John C. (2003). Options, Futures and Other Derivatives. Upper Saddle River, NJ: Prentice Hall. ISBN 0-13-009056-5. • Cox, J.C., J.E. Ingersoll and S.A. Ross (1985). "A Theory of the Term Structure of Interest Rates". Econometrica. 53 (2): 385–407. See more new to paramount plus march 2023
Cox-Ingersoll-Ross Model (CIR) Definition - Investopedia
WebCox,Ingersoll和Ross(简称CIR,1981)运用资产定价模型和随机过程来研究利率期限结构,建立了单因素模型,1985年又发展了两因素模型(Coxetc.,1985),认为利率的变化除了短期利率的随机过程外,还存在长期利率的随机过程。 WebThe Cox-Ingersoll-Ross Model IIn the Cox-Ingersoll-Ross (1985) model, the instantaneous riskless rate rt is modeled as a mean-revertingsquare-root process, drt = (¯rrt)dt+ p rtdB ⇤, (12) where¯r> 0is the long-run mean ofrt, >0is its speed of mean-reversion, and the solution to (12) is nonnegative for all t, so it is possible to take the ... new to paramount plus september 2022