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gptkbp:instanceOf
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gptkb:logic
gptkb:interest_rate_model
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gptkbp:abbreviation
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gptkb:CIR_model
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gptkbp:application
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derivatives pricing
bond pricing
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gptkbp:category
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gptkb:stochastic_process
gptkb:Markov_chain
mean-reverting process
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gptkbp:describes
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evolution of interest rates
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gptkbp:differential
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dr_t = k(θ - r_t)dt + σ√r_t dW_t
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gptkbp:feature
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affine term structure
square-root diffusion
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gptkbp:field
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mathematical finance
financial mathematics
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gptkbp:fullTitle
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A Theory of the Term Structure of Interest Rates
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gptkbp:introduced
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gptkb:John_C._Cox
gptkb:Stephen_A._Ross
gptkb:Jonathan_E._Ingersoll
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gptkbp:introducedIn
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1985
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gptkbp:parameter
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W_t (Wiener process)
σ (volatility)
k (speed of mean reversion)
r_t (short rate)
θ (long-term mean)
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gptkbp:property
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non-negative interest rates
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gptkbp:publishedIn
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gptkb:Econometrica
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gptkbp:relatedTo
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gptkb:Vasicek_model
Hull–White model
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gptkbp:type
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one-factor short-rate model
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gptkbp:usedFor
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modeling interest rates
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gptkbp:bfsParent
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gptkb:Jonathan_Ingersoll
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gptkbp:bfsLayer
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8
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https://www.w3.org/2000/01/rdf-schema#label
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Cox–Ingersoll–Ross model
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