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
|