Cox–Ingersoll–Ross model

GPTKB entity

Statements (33)
Predicate Object
gptkbp:instanceOf gptkb:logic
interest rate model
gptkbp:abbreviation gptkb:CIR_model
gptkbp:application derivatives pricing
bond pricing
gptkbp:category gptkb:stochastic_process
Markov chain
mean-reverting process
gptkbp:describes evolution of interest rates
gptkbp:differential dr_t = k(θ - r_t)dt + σ√r_t dW_t
gptkbp:feature affine term structure
square-root diffusion
gptkbp:field mathematical finance
financial mathematics
gptkbp:fullTitle A Theory of the Term Structure of Interest Rates
https://www.w3.org/2000/01/rdf-schema#label Cox–Ingersoll–Ross model
gptkbp:introduced gptkb:John_C._Cox
gptkb:Stephen_A._Ross
gptkb:Jonathan_E._Ingersoll
gptkbp:introducedIn 1985
gptkbp:parameter W_t (Wiener process)
σ (volatility)
k (speed of mean reversion)
r_t (short rate)
θ (long-term mean)
gptkbp:property non-negative interest rates
gptkbp:publishedIn gptkb:Econometrica
gptkbp:relatedTo gptkb:Vasicek_model
Hull–White model
gptkbp:type one-factor short-rate model
gptkbp:usedFor modeling interest rates
gptkbp:bfsParent gptkb:Jonathan_Ingersoll
gptkbp:bfsLayer 7