Cox-Ingersoll-Ross CIR
Tags: #Financial #EconomicsEquation
$$\mathrm{d} r(t) = a[b - r(t)] \mathrm{d} t + \sigma \sqrt{r(t)} \mathrm{d} Z(t) \\ P(r, t, T) = A(T-t)e^{-rB(T-t)} \\ \gamma = \sqrt{(a-\bar{\phi})^{2} + 2 \sigma^{2}} \\ q(r, t, T) = \sigma \sqrt{r} B(T-t) \\ \text{yield to maturity} \\ \frac{2ab}{ a - \bar{\phi} + \gamma}$$Latex Code
\mathrm{d} r(t) = a[b - r(t)] \mathrm{d} t + \sigma \sqrt{r(t)} \mathrm{d} Z(t) \\ P(r, t, T) = A(T-t)e^{-rB(T-t)} \\ \gamma = \sqrt{(a-\bar{\phi})^{2} + 2 \sigma^{2}} \\ q(r, t, T) = \sigma \sqrt{r} B(T-t) \\ \text{yield to maturity} \\ \frac{2ab}{ a - \bar{\phi} + \gamma}
Have Fun
Let's Vote for the Most Difficult Equation!
Introduction
Equation
Latex Code
\mathrm{d} r(t) = a[b - r(t)] \mathrm{d} t + \sigma \sqrt{r(t)} \mathrm{d} Z(t) \\ P(r, t, T) = A(T-t)e^{-rB(T-t)} \\ \gamma = \sqrt{(a-\bar{\phi})^{2} + 2 \sigma^{2}} \\ q(r, t, T) = \sigma \sqrt{r} B(T-t) \\ \text{yield to maturity} \\ \frac{2ab}{ a - \bar{\phi} + \gamma}
Explanation
Latex code for the Cox-Ingersoll-Ross model.
- : 1-year interest rate.
- : 1-year bond price
- : year-1 price of a 1-year bond, depending on the movement of the interest rate moving up and down.
- : Observed year-1 price of a 1-year bond
Related Documents
- Cox-Ingersoll-Ross Model
- A THEORY OF THE TERM STRUCTURE OF INTEREST RATES
- Cox-Ingersoll-Ross (CIR) model-Mathworks
Related Videos
Discussion
Comment to Make Wishes Come True
Leave your wishes (e.g. Passing Exams) in the comments and earn as many upvotes as possible to make your wishes come true
-
Ralph WardNothing else matters but passing this exam. -
Mary SmithI've done everything I can, now I just need to pass this exam.Irene Cox reply to Mary SmithBest Wishes.2024-04-19 00:00:00.0 -
Gladys PearsonI'm determined to get a pass on this test.Shane Fisher reply to Gladys PearsonYou can make it...2023-11-19 00:00:00.0
Reply