Cox, Ingersoll and Ross Models of Interest Ratescomplicated. If I work with this process, I don't care about the nature of this Brownian motion. This ... (Figure 14). I can prove the following theorem. Do we care about risk, about interest rate models, in the real ...
Description: Presented at May 2002 Spring Meeting. Our lecturer presents findings from a research project relating to the Cox, Ingersoll & Ross model of interest rates, including an effective way of pricing general interest rate derivatives and pricing bonds.Hide
- Authors: Peter Tilley, Wojciech Szatzschneider
- Date: May 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Forecasting