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Cox–Ingersoll–Ross model
Known as:
Square root process
, Cir process
, CIR model
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In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of "one factor model…
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Related topics
10 relations
Chen model
Discretization
Heston model
Hull–White model
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2020
2020
Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model
C. Kelly
,
G. Lord
,
Heru Maulana
arXiv.org
2020
Corpus ID: 211259276
We introduce an adaptive Euler method for the approximate solution of the Cox-Ingersoll-Ross short rate model. An explicit…
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2019
2019
The Cox–Ingersoll–Ross Model
Gennady A. Medvedev
Yield Curves and Forward Curves for Diffusion…
2019
Corpus ID: 182005306
The investigation of the affine term structure of interest rates started in Chap. 3 continues with the use of yield curves and…
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2017
2017
Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model
C. A
,
Yi-Hang Shao
2017
Corpus ID: 52247118
This paper considers a portfolio optimization problem with delay. The finance market is consisted of one risk-free asset and one…
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2017
2017
Fokker Planck for the Cox-Ingersoll-Ross Model
Teodor Fredriksson
2017
Corpus ID: 125777425
In finance, it is of most importance to study and model interest rates. In the industry it is essential to estimate the…
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2013
2013
Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model
L. Teng
,
Matthias Ehrhardt
,
M. Günther
International Journal of Computational…
2013
Corpus ID: 29738699
The Cox–Ingersoll–Ross (CIR) model has been a benchmark in finance for many years because of its analytical and structural…
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2013
2013
NLRP 3 deletion protects from hyperoxia-induced acute lung injury
J. Fukumoto
,
Itsuko Fukumoto
,
+7 authors
N. Kolliputi
2013
Corpus ID: 11113609
Jutaro Fukumoto, Itsuko Fukumoto, Prasanna Tamarapu Parthasarathy, Ruan Cox, Bao Huynh, Gurukumar Kollongod Ramanathan, Rajan…
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2010
2010
Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters
Giuliano De Rossi
2010
Corpus ID: 189952679
This paper shows how to build in a computationally efficient way a maximum simulated likelihood procedure to estimate the Cox…
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2006
2006
Do Economists Reach a Conclusion On Rail Transit
T. Balaker
,
Cecilia Kim
2006
Corpus ID: 59568080
In the United States, the public debate over urban rail projects is complicated by the lack of agreement on goals. Supporters…
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2005
2005
Statistical Inference in Cox-Ingersoll-Ross Model
X. Ang
2005
Corpus ID: 124066742
In this paper, the problem of estimating coefficients in Cox-Ingersoll-Ross model are studied. The moment estimates of the…
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1998
1998
Yield option pricing in the generalized Cox-Ingersoll-Ross Model.
G. Deelstra
1998
Corpus ID: 53400720
In this paper, we provide pricing formulae for both European and American yield options in the generalized Cox-Ingersoll-Ross…
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