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

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

Embedding the Vasicek model into the Cox-Ingersoll-Ross model

JOURNAL ARTICLE published 30 January 2011 in Mathematical Methods in the Applied Sciences

Authors: W. Sinkala | P. G. L. Leach | J. G. O'Hara

Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model

JOURNAL ARTICLE published 2017 in Journal of Mathematical Finance

Authors: Chunxiang A | Yi Shao

Strong convergence rates for Cox–Ingersoll–Ross processes — Full parameter range

JOURNAL ARTICLE published March 2018 in Journal of Mathematical Analysis and Applications

Authors: Mario Hefter | André Herzwurm

Wiener chaos and the Cox–Ingersoll–Ross model

JOURNAL ARTICLE published 8 February 2005 in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Authors: M. R. Grasselli | T. R. Hurd

A stable Cox–Ingersoll–Ross model with restart

JOURNAL ARTICLE published December 2016 in Journal of Mathematical Analysis and Applications

Research funded by Hunan Provincial Natural Science Foundation (14JJ3019) | National Natural Science Foundation of China (11101433)

Authors: Jun Peng

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

JOURNAL ARTICLE published 8 April 2012 in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Authors: Steffen Dereich | Andreas Neuenkirch | Lukasz Szpruch

Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

BOOK CHAPTER published in Advances in Mathematical Economics

Authors: Hiroaki Hata | Jun Sekine

Publisher’s Errata Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

BOOK CHAPTER published in Advances in Mathematical Economics

Authors: H. Hata | J. Sekine

Estimating the Domestic Short Rate in a Convergence Model of Interest Rates

JOURNAL ARTICLE published 1 April 2020 in Tatra Mountains Mathematical Publications

Authors: Zuzana Bučková | Zuzana Girová | Beáta Stehlíková

The Cox—Ross—Rubinstein Model

BOOK CHAPTER published 2003 in Mathematical Finance and Probability

Authors: J. C. Cox | S. A. Ross | M. Rubinstein

Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

JOURNAL ARTICLE published 2020 in Journal of Mathematical Finance

Authors: Niloofar Ghorbani | Andrzej Korzeniowski

The Cox-Ingersoll-Ross process under volatility uncertainty

JOURNAL ARTICLE published March 2024 in Journal of Mathematical Analysis and Applications

Research funded by Natural Science Foundation of Shandong Province (2023HWYQ-049) | National Natural Science Foundation of China (12301178,ZR2022QA022)

Authors: Bahar Akhtari | Hanwu Li

Invariant criteria for the zero-coupon bond pricing Vasicek and Cox-Ingersoll-Ross Models

JOURNAL ARTICLE published 25 April 2017 in New Trends in Mathematical Science

Authors: Ahmet Bakkaloglu | Taha Aziz | F.M. Mahomed

GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY

JOURNAL ARTICLE published January 2012 in Mathematical Finance

Authors: Verena Goldammer | Uwe Schmock

Volatility Forecasting Based on Cyclical Two-Component Model: Evidence from Chinese Futures Markets and Sector Stocks

JOURNAL ARTICLE published 10 September 2020 in Mathematical and Computational Applications

Authors: Conghua Wen | Junwei Wei

1. The Simplest Model of Financial Markets

BOOK CHAPTER published 31 December 2009 in Mathematical Techniques in Finance

Lie Symmetries, Optimal System, and Invariant Solutions of the Generalized Cox-Ingersoll-Ross Equation

BOOK CHAPTER published 2023 in Proceedings of the International Conference on Mathematical Sciences and Statistics 2022 (ICMSS 2022)

Authors: H. S. Tang | K. Y. Chong | B. H. Kee

Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox–Ingersoll–Ross process

JOURNAL ARTICLE published March 2022 in Research in the Mathematical Sciences

Authors: Phiraphat Sutthimat | Sanae Rujivan | Khamron Mekchay | Udomsak Rakwongwan