CoxIngersollRossModel - Maple Help
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Finance

  

CoxIngersollRossModel

  

define Cox-Ingersoll-Ross interest rate model

 

Calling Sequence

Parameters

Description

Examples

References

Compatibility

Calling Sequence

CoxIngersollRossModel(r, theta, kappa, sigma, )

Parameters

r

-

initial term structure

theta

-

long term mean level

kappa

-

speed of reversion

sigma

-

volatility

-

initial value

Description

• 

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 .

Examples

First define a Cox-Ingersoll-Ross model with parameters , , , , and .

(1)

Here is the corresponding short rate tree.

(2)

References

  

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.

Compatibility

• 

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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