A New Approach to CIR Short-Term Rates Modelling

2018/01/01 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 3 citations
Economics, Econometrics and Finance · Mathematics · #Computer science #Cox–Ingersoll–Ross model #Credit Risk and Financial Regulations #Econometrics #Economics #Financial Risk and Volatility Modeling #Interest rate #Mathematics #Physics #Short rate #Short-rate model #Statistics #Stochastic processes and financial applications #Term (time) #Volatility (finance) #Yield curve

paper · doi:10.1007/978-3-319-95285-7_2

crossref issued 2018/01/01 · crossref published 2018/01/01 · crossref published-print 2018/01/01 · openalex publication_date 2018/01/01 · crossref created 2018/08/18 · crossref published-online 2018/08/19 · crossref deposited 2019/10/22 · openalex created_date 2025/10/10 · crossref indexed 2026/04/16 · openalex updated_date 2026/08/04

Citations

• Affine processes and applications in finance
• An equilibrium characterization of the term structure

Cited by

• Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work
• Forecasting interest rates through Vasicek and CIR models: A partitioning approach
• Hull–White model [wikipedia]