Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
interest rate model
|
| gptkbp:application |
derivatives pricing
bond pricing |
| gptkbp:assumes |
interest rates cannot be negative
|
| gptkbp:category |
one-factor short-rate model
|
| gptkbp:feature |
mean reversion
non-negative interest rates |
| gptkbp:field |
mathematical finance
stochastic processes |
| gptkbp:fullName |
gptkb:Cox-Ingersoll-Ross_model
|
| gptkbp:hasEquation |
gptkb:stochastic_process
|
| https://www.w3.org/2000/01/rdf-schema#label |
CIR model
|
| gptkbp:introduced |
gptkb:John_C._Cox
gptkb:Stephen_A._Ross Jonathan E. Ingersoll Jr. |
| gptkbp:introducedIn |
1985
|
| gptkbp:parameter |
volatility
long-term mean mean reversion speed initial interest rate |
| gptkbp:relatedTo |
gptkb:Hull-White_model
gptkb:Vasicek_model |
| gptkbp:solvedBy |
analytical solution for zero-coupon bonds
|
| gptkbp:usedFor |
modeling interest rates
|
| gptkbp:bfsParent |
gptkb:Cox-Ingersoll-Ross_model
gptkb:Cox–Ingersoll–Ross_model |
| gptkbp:bfsLayer |
8
|