# Questions tagged [cox-ingersoll-ross]

The Cox-Ingersoll-Ross model is a one-parameter model describing the evolution of interest rates. A square root does not allow negative interest rates.

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### How to initialize a UKF for term structures?

How I’can initialize a UKF (unscented kalman filter) in a CIR model for a Term structure of CDS spread? Are the sample mean and sample covariance matrix the firsts values that I’ve to set in the ...
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### Does my Python code correctly simulate realizations of a CIR process?

I've written the following function which should simulate realizations of a CIR process: ...
64 views

### Affine term structure for CDS

in papres such as https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2686284 (Exploring Mispricing in the Term Structure of CDS Spreads by Robert A. Jarrow, Haitao Li, Xiaoxia Ye, and May Hu) a ...
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### Vasicek Short rate simulation - analytical formula vs discretization

I've been using two approaches to simulate Vasicek short rate paths and I'm wondering if one of them is more correct than the other. The first approach is based on the analytical formula (see code ...
66 views

### How do I pricing a ZCB using CIR (Cox-Ingersoll-Ross) model

Please see the codes below My question is about input parameters (a, b and sigma)and their calculation. For the long term mean "b", do we use effective Fed Fund rates? or 3m T-bills? Also, ...
Is there a closed-form (analytical) solution for the Cox-Ingersoll-Ross SDE \begin{equation} dr_t=k_r(\theta_r-r_t)dt+\sigma_r\sqrt{r_t}dW_t\tag{1} \end{equation} ? Notice that $\{r_t\}$ is our ...