Finance
CoxIngersollRossModel
define Cox-Ingersoll-Ross interest rate model
Calling Sequence
Parameters
Description
Examples
References
Compatibility
CoxIngersollRossModel(r, theta, kappa, sigma, )
r
-
initial term structure
theta
long term mean level
kappa
speed of reversion
sigma
volatility
initial value
The CoxIngersollRossModel command creates a Cox-Ingersoll-Ross model with the specified parameters. Under this model the short rate process has the following dynamics with respect to the risk-neutral measure
where , , , and are non-negative constants and W(t) is a Wiener process modeling the random market risk factor.
It is reasonable to require that .
First define a Cox-Ingersoll-Ross model with parameters , , , , and .
Here is the corresponding short rate tree.
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
The Finance[CoxIngersollRossModel] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
See Also
Finance[BlackScholesProcess]
Finance[HullWhiteModel]
Finance[OrnsteinUhlenbeckProcess]
Finance[PathGenerator]
Finance[SamplePath]
Finance[ShortRateProcess]
Finance[ShortRateTree]
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