# 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.

13 questions
Filter by
Sorted by
Tagged with
66 views

### Estimating market price of interest rate risk under CIR model

My goal is to find the market price of risk associated with the interest rate under the CIR model whose stochastic differential equation under the physical measure is given: \begin{eqnarray}\label{...
• 409
45 views

### Nonlinear Constrained optimization for a CIR model

I want to calibrate a CIR model which is commonly used to model the evolution of interest rates. Briefly speaking, we know that its dynamics is of the form dr_t = \kappa (\theta - r_t)...
• 409
1 vote
30 views

### Including Exogeneous variables in short rate models

I am trying to use short rate models (e.g. Vasicek, CIR or Hull-White) to forecast next one or two months yield curve. In this context, is there a way that I can include some exogenous economic or ...
• 11
144 views

### Sampling change in the driving brownian motion of a CIR process

I have volatility driven by a CIR process: $$\mathrm{d}v_t = \kappa (\bar{v}-v_t)\mathrm{d}t + \omega \sqrt{v_t}\mathrm{d}W_v\text{.}\tag{1}$$ I am working with several (complicated) approximations of ...
• 437
70 views

### Boundedness in Square Root Process

Consider the following square root diffusion price process: $$dV_t = \kappa_V(\bar{V}-V_t)dt+\sigma_V\sqrt{V_t}dW_t$$ It is my understanding that $\kappa_V$ is the rate at which the process reverts ...
1 vote
115 views

### Derivation of the distribution for a CIR process

Where is it possible to find a complete derivation of the distribution of a CIR process? There is a number of papers that claim that it is a noncentrical chi-squared distribution. However, I cannot ...
• 11
1 vote
71 views

### Implicit Scheme for Cox-Ingersoll-Ross Model PDE

I am considering the PDE for the price of a bond $V(r,t)$ with maturity $T$ under the Cox-Ingersoll-Ross model, $$V_t+\frac12\sigma^2rV_{rr}+\nu(\theta-r)V_r-rV=0\quad r>0, t\in(0,1)$$ with ...
• 599
1 vote
446 views

### 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: ...
• 175
1 vote
94 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 ...
1 vote
371 views

### 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 ...
• 21
1 vote
158 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, ...
• 169
1 vote
Is there a closed-form (analytical) solution for the Cox-Ingersoll-Ross SDE $$dr_t=k_r(\theta_r-r_t)dt+\sigma_r\sqrt{r_t}dW_t\tag{1}$$ ? Notice that $\{r_t\}$ is our ...