New Approximations to Bond Prices in the Cox–Ingersoll–Ross Convergence Model with Dynamic Correlation

JOURNAL ARTICLE published 23 June 2021 in Mathematics

Research funded by Vedecká Grantová Agentúra MŠVVaŠ SR a SAV (VEGA 1/0062/18)

Authors: Beáta Stehlíková

The Cox–Ingersoll–Ross Factor Model

BOOK CHAPTER published 5 December 2019 in Arbitrage Theory in Continuous Time

Authors: Tomas Björk

Cox–Ingersoll–Ross ( CIR ) Model

OTHER published 26 February 2010 in Encyclopedia of Quantitative Finance

Authors: Aurélien Alfonsi

Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1

JOURNAL ARTICLE published October 1992 in Review of Financial Studies

Authors: Ren-Raw Chen | Louis Scott

The Cox–Ingersoll–Ross Interest Rate Model

BOOK CHAPTER published 5 December 2019 in Arbitrage Theory in Continuous Time

Authors: Tomas Björk

The Valuation of TIPS with an Analytical Two-Factor Cox-Ingersoll-Ross Term Structure Model with Correlated Factors

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ren-Raw Chen | Bo Liu | xiaolin cheng

Cox–Ingersoll–Ross model for wind speed modeling and forecasting

JOURNAL ARTICLE published July 2016 in Wind Energy

Research funded by EREN Groupe (DMS-1303775) | Research Grants Council of HKSAR (CityU 500113)

Authors: Alain Bensoussan | Alexandre Brouste

The Cox, Ross and Rubinstein model

OTHER published 31 December 2018 in Financial Markets for Commodities

Authors: Christophe Doursat | Joël Priolon

“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates

JOURNAL ARTICLE published March 2011 in Asia-Pacific Financial Markets

Authors: Hiroaki Hata

Irreversible investment with Cox–Ingersoll–Ross type mean reversion

JOURNAL ARTICLE published May 2010 in Mathematical Social Sciences

Authors: Christian-Oliver Ewald | Wen-Kai Wang

Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model

JOURNAL ARTICLE published January 2016 in SIAM Journal on Financial Mathematics

Authors: Chris Jones | Xinfu Chen

The Cox, Ingersoll and Ross Model

BOOK CHAPTER published 2004 in Interest Rate Modelling

Authors: Simona Svoboda

The term structure of real interest rates and the Cox, Ingersoll, and Ross model

JOURNAL ARTICLE published February 1994 in Journal of Financial Economics

Authors: Roger H. Brown | Stephen M. Schaefer

A test of the Cox, Ingersoll, and Ross model of the term structure

JOURNAL ARTICLE published 1 July 1993 in Review of Financial Studies

Authors: M. R. Gibbons | K. Ramaswamy

Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters

JOURNAL ARTICLE published June 2010 in Computational Economics

Authors: Giuliano De Rossi

Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion

JOURNAL ARTICLE published May 2020 in Stochastic Processes and their Applications

Authors: Jialin Hong | Chuying Huang | Minoo Kamrani | Xu Wang

Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model

JOURNAL ARTICLE published 31 December 2004 in Sequential Analysis

Authors: Wolfgang Schmid | Dobromir Tzotchev

A Parsimonious Inverse Cox-Ingersoll-Ross Process for Financial Price Modeling

JOURNAL ARTICLE published 2023 in SSRN Electronic Journal

Authors: Li Lin | Didier Sornette

Pricing European options in complete markets. The binomial model and the Cox-Ross-Rubinstein formula

BOOK CHAPTER published 21 April 1999 in Translations of Mathematical Monographs

The Cox–Ingersoll–Ross model with delay and strong convergence of its Euler–Maruyama approximate solutions

JOURNAL ARTICLE published October 2009 in Applied Numerical Mathematics

Authors: Fuke Wu | Xuerong Mao | Kan Chen