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Finance[CoxIngersollRossModel] - define Cox-Ingersoll-Ross interest rate model
Calling Sequence
CoxIngersollRossModel(r, theta, kappa, sigma, )
Parameters
theta
-
non-negative constant; speed of mean reversion
sigma
non-negative constant; volatility parameter
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 objective measure
where , and are non-negative constants. It is reasonable to require that .
Compatibility
The Finance[CoxIngersollRossModel] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
First define a Cox-Ingersoll-Ross model with parameters , , and .
Here is the corresponding short rate tree.
See Also
Finance[BlackScholesProcess], Finance[CoxIngersollRossModel], Finance[HullWhiteModel], Finance[OrnsteinUhlenbeckProcess], Finance[PathGenerator], Finance[SamplePath], Finance[ShortRateProcess], Finance[ShortRateTree]
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.
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