Cox–Ingersoll–Ross model ≈ Cox–Ingersoll–Ross model
View article
A comparative study of the Vasicek and the CIR model of the short rate Open
In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give…
View article
Valuing catastrophe bonds involving correlation and CIR interest rate model Open
Natural catastrophes lead to problems of insurance and reinsurance industry. Classic insurance mechanisms are often inadequate for dealing with consequences of catastrophic events. Therefore, new financial instruments, including catastroph…
View article
Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work Open
In this work, we present our findings of the so‐called CIR#, which is a modified version of the Cox, Ingersoll, and Ross (CIR) model, turned into a forecasting tool for any term structure. The main feature of the CIR# model is its ability …
View article
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS Open
The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short …
View article
Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates Open
We present a solution to the problem posed by Zhang et al. [1] regarding Call Option price CT under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for CT by expected value …
View article
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs Open
Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs). They are designed for the increasing demand of the customers for p…
View article
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process Open
We consider the Cox–Ingersoll–Ross process that satisfies the stochastic differential equation $dX_t = aX_t dt+\sigma \sqrt {X_t} dB^H_t$ driven by a fractional Brownian motion $B^H_t$ with the Hurst index exceeding $\frac {2}{3}$, where $…
View article
Explicit Formula for Conditional Expectations of Product of Polynomial and Exponential Function of Affine Transform of Extended Cox-Ingersoll-Ross Process Open
In this study, an explicit formula for conditional expectations of the product of polynomial and exponential function of an affine transform is derived under the extended Cox-Ingersoll-Ross (ECIR) process. Moreover, we simplify the result …
View article
A Novel Analytical Formula for the Discounted Moments of the ECIR Process and Interest Rate Swaps Pricing Open
This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process. We also propose an analytical formula as wel…
View article
Exponential integrability properties of Euler discretization schemes for the Cox--Ingersoll--Ross process Open
We study exponential integrability properties of the Cox--Ingersoll--Ross (CIR) process and its Euler--Maruyama discretizations with various types of truncation and reflection at $0$. These properties play a key role in establishing the fi…
View article
Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises Open
This paper is concerned with the least squares estimation of drift parameters for the Cox–Ingersoll–Ross (CIR) model driven by small symmetrical α-stable noises from discrete observations. The contrast function is introduced to obtain the …
View article
OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY Open
We analyse an optimal portfolio and consumption problem with stochastic factor and delay over a finite time horizon. The financial market includes a risk-free asset, a risky asset and a stochastic factor. The price process of the risky ass…
View article
Optimal Investment Strategy under the CEV Model with Stochastic Interest Rate Open
Interest rate is an important macrofactor that affects asset prices in the financial market. As the interest rate in the real market has the property of fluctuation, it might lead to a great bias in asset allocation if we only view the int…
View article
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations Open
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener\nprocess and a spectrally positive strictly stable L\\'evy process, and we study\nasymptotic properties of the maximum likelihood estimator (MLE) for its growth\…
View article
Uniform approximation of the Cox-Ingersoll-Ross process Open
The Doss-Sussmann (DS) approach is used for uniform simulation of the Cox-Ingersoll-Ross (CIR) process. The DS formalism allows us to express trajectories of the CIR process through solutions of some ordinary differential equation (ODE) de…
View article
Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching Open
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with regime-switching and without regime-switching is that the …
View article
Unspanned stochastic volatility in the multifactor CIR model Open
Empirical evidence suggests that fixed‐income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin‐Dufresne and Goldstein (2002, Journal…
View article
An analytical formula for pricing interest rate swaps in terms of bondprices under the extended Cox-Ingersoll Ross model Open
This paper presents an analytical formula for pricing interest rate swaps (IRSs) in terms of bond prices in which the interest rates are assumed to follow the extended Cox-Ingersoll-Ross model. Furthermore, we analytically investigate some…
View article
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes Open
Cox-Ingersoll-Ross (CIR) processes are extensively used in state-of-the-art models for the approximative pricing of financial derivatives. In particular, CIR processes are day after day employed to model instantaneous variances (squared vo…
View article
A stochastic approach to model housing markets: The US housing market case Open
This study aims to estimate the price changes in housing markets using a stochastic process, which is defined in the form of stochastic differential equations (SDEs). It proposes a general SDEs system on the price structure in terms of hou…
View article
How to handle negative interest rates in a CIR framework Open
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox–Ingersoll–Ross (CIR) model without introducing a shift to the market interest rates, bec…
View article
Optimal Consumption and Portfolio Decision with Convertible Bond in Affine Interest Rate and Heston’s SV Framework Open
We are concerned with an optimal investment-consumption problem with stochastic affine interest rate and stochastic volatility, in which interest rate dynamics are described by the affine interest rate model including the Cox-Ingersoll-Ros…
View article
An adaptive splitting method for the Cox-Ingersoll-Ross process Open
\n Contains fulltext :\n 290570.pdf (Publisher’s version ) (Open Access)\n
View article
Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates Open
We consider the Heston-CIR stochastic-local volatility model in the context of foreign exchange markets, which contains both a stochastic and a local volatility component for the exchange rate combined with the Cox-Ingersoll-Ross dynamics …
View article
On Short-Term Loan Interest Rate Models: A First Passage Time Approach Open
In this paper, we consider a stochastic diffusion process able to model the interest rate evolving with respect to time and propose a first passage time (FPT) approach through a boundary, defined as the “alert threshold”, in order to evalu…
View article
Pricing of vulnerable options based on an uncertain CIR interest rate model Open
The traditional Cox-Ingersoll-Ross (CIR) interest rate model follows a stochastic differential equation that cannot obtain the closed solution while the uncertain CIR interest rate model is an uncertain differential equation. First, this p…
View article
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets Open
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility…
View article
Consistent Recalibration of Yield Curve Models Open
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dy…
View article
Estimation of a pure-jump stable Cox-Ingersoll-Ross process Open
International audience
View article
A subordinated CIR intensity model with application to wrong-way risk CVA Open
Credit valuation adjustment (CVA) pricing models need to be both flexible and tractable. The survival probability has to be known in closed form (for calibration purposes), the model should be able to fit any valid credit default swap (CDS…