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Finance[CoxIngersollRossModel] - define Cox-Ingersoll-Ross interest rate model
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Calling Sequence
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CoxIngersollRossModel(r, theta, kappa, sigma, ![x[0]](/support/helpjp/helpview.aspx?si=8902/file01602/math18.png) )
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Parameters
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theta
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non-negative constant; speed of mean reversion
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sigma
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non-negative constant; volatility parameter
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Description
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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
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where  ,  and  are non-negative constants. It is reasonable to require that  .
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Compatibility
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The Finance[CoxIngersollRossModel] command was introduced in Maple 15.
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Examples
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First define a Cox-Ingersoll-Ross model with parameters ![r[0] = 0.3e-1](/support/helpjp/helpview.aspx?si=8902/file01602/math96.png) ,  ,  and  .
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Here is the corresponding short rate tree.
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
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Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.
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Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
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