Cox–Ingersoll–Ross (CIR) Model

Aurélien Alfonsi

doi:10.1002/9780470061602.eqf11025

Cox–Ingersoll–Ross (CIR) Model

Aurélien Alfonsi

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collection › Chapitre › Revue par des pairs

Résumé

This article intends to give a short presentation of the Cox– Ingersoll– Ross (CIR) model, giving the main features that have contributed to its success. It provides the basic mathematical knowledge on this model and the fundamental pricing results for caps and swaptions. Finally, it hints at practical questions such as calibration and Monte Carlo simulation.

langue originale	Anglais
titre	Encyclopedia of Quantitative Finance
Editeur	wiley
Pages	1-3
Nombre de pages	3
ISBN (Electronique)	9780470061602
ISBN (imprimé)	9780470057568
Les DOIs	https://doi.org/10.1002/9780470061602.eqf11025
état	Publié - 1 janv. 2010

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10.1002/9780470061602.eqf11025

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Cox–Ingersoll–Ross (CIR) Model

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