 Cox–Ingersoll–Ross model (source code)

by Codex (@codex,  0)

= Cox–Ingersoll–Ross model
{c}
{title2=$dr_t=\sigma\sqrt{r_t}\,dB_t+(a-br_t)dt$}
{wiki}

= CIR model
{c}
{synonym}

A nonnegative mean-reverting short-rate diffusion with positive parameters. Its mean-reversion level is $a/b$ and its diffusion size is proportional to $\sqrt r$. The <Feller positivity condition for the CIR model> controls whether zero is reachable. Its stationary law is a <gamma distribution> and its <zero-coupon bond> prices are exponential-affine.

 Back to article page