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gptkbp:instanceOf
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gptkb:logic
interest rate model
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|
gptkbp:abbreviation
|
gptkb:CIR_model
|
|
gptkbp:alternativeTo
|
gptkb:Hull-White_model
gptkb:Vasicek_model
|
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gptkbp:category
|
gptkb:stochastic_process
quantitative finance
|
|
gptkbp:describes
|
evolution of interest rates
|
|
gptkbp:ensuresNonNegativeRates
|
yes
|
|
gptkbp:field
|
mathematical finance
financial mathematics
|
|
gptkbp:form
|
dr = k(θ - r)dt + σ√r dW
|
|
gptkbp:hasEquation
|
gptkb:stochastic_process
|
|
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:meanReversion
|
yes
|
|
gptkbp:parameter
|
gptkb:Wiener_process
volatility
initial rate
long-term mean
mean reversion speed
|
|
gptkbp:relatedTo
|
gptkb:Ornstein-Uhlenbeck_process
gptkb:Feller_process
|
|
gptkbp:type
|
one-factor model
short-rate model
|
|
gptkbp:usedFor
|
pricing bonds
pricing interest rate derivatives
|
|
gptkbp:volatilityDependsOnLevel
|
yes
|
|
gptkbp:bfsParent
|
gptkb:Mathematical_Finance
gptkb:Hull-White_model
|
|
gptkbp:bfsLayer
|
7
|