Cox–Ingersoll–Ross model
In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives. It was introduced in 1985 by John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross as an extension of the Vasicek model.
Asset pricingBasic affine jump diffusionBond valuationCIRCIR modelCIR processCatalog of articles in probability theoryCir processCox-Ingersoll-RossCox-Ingersoll-Ross modelCox–Ingersoll–RossDynamic financial analysisFinancial economicsHeston modelHull–White modelJohn Carrington CoxJonathan E. IngersollLattice model (finance)List of named differential equationsList of quantitative analystsList of statistics articlesList of stochastic processes topicsMathematical financeOrnstein–Uhlenbeck processOutline of financeQuantitative analysis (finance)Short-rate modelSquare root processStable count distributionStephen Ross (economist)Stochastic investment modelVariance swapVasicek modelYield curve
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Cox–Ingersoll–Ross model
In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives. It was introduced in 1985 by John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross as an extension of the Vasicek model.
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In mathematical finance, the C ...... xtension of the Vasicek model.
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Le modèle Cox-Ingersoll-Ross ( ...... de au bout d'un certain temps.
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コックス・インガーソル・ロス・モデル（英: Cox-Inge ...... かう）。 瞬間利子率 r(t) は、非心カイ二乗分布に従う。
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In mathematical finance, the C ...... xtension of the Vasicek model.
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Le modèle Cox-Ingersoll-Ross ( ...... férentielle stochastique (EDS)
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コックス・インガーソル・ロス・モデル（英: Cox-Inge ...... 値媒介変数 a により完全に支配される。 標準偏差因子 は、
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Cox–Ingersoll–Ross model
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Modèle Cox-Ingersoll-Ross
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コックス・インガーソル・ロス・モデル
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