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A New Approach to CIR Short-Term Rates Modelling · Study

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ChapterA New Approach to CIR Short-Term Rates Modelling

Giuseppe Orlando2018

Chapter2018

A New Approach to CIR Short-Term Rates Modelling

Giuseppe Orlando · Rosa Maria Mininni · Michele Bufalo

21 citations·0/0 files stored·Contributions to management science

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 2016Numerical solution of stochastic differential equations 1990Pricing Interest-Rate-Derivative Securities 2004Insurance: Mathematics and Economics 2003Affine processes and applications in finance 2006Interest rate models : theory and practice : with smile, inflation and credit 1991Bond and Option Pricing when Short Rates are Lognormal

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2021Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model workarticle · 8 shared references 2019Forecasting interest rates through Vasicek and CIR models: A partitioning approacharticle · 6 shared references 2019A new approach to forecast market interest rates through the CIR modelarticle · 6 shared references 2010Multi-Lag Term Structure Models with Stochastic Risk Premiapreprint · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 5 shared references 2005The fair value of guaranteed annuity optionsarticle · 5 shared references

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Year2018

Typechapter

Published2018-01-01

VenueContributions to management science

ISSN-L1431-1941

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-95285-7_2

openalex_workW2887738731

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