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Wiener chaos and the Cox-Ingersoll-Ross model

✍ Scribed by Grasselli, M. R.; Hurd, T. R.


Book ID
120147608
Publisher
The Royal Society
Year
2005
Tongue
English
Weight
423 KB
Volume
461
Category
Article
ISSN
0962-8444

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Embedding the Vasicek model into the Cox
✍ W. Sinkala; P. G. L. Leach; J. G. O'Hara πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 138 KB

The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of the interest spot rate. In this paper, we construct a mapping by means of which the price of a zero-coupon bond in the CIR model may be obtained from a corresponding price in the Vasicek model. We use