Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution

DOI10.1080/13504860500395943zbMATH Open1142.91544OpenAlexW2049585166MaRDI QIDQ3424331FDOQ3424331

Carlo Mari, Roberto Renò

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500395943

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• Estimation of affine asset pricing models using the empirical characteristic function
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An Intertemporal General Equilibrium Model of Asset Prices
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Single factor models with Markovian spot interest rate: An analytical treatment
• Credit risk analysis of mortgage loans: An application to the Italian market

Cited In (2)

• Estimation and empirical evaluation of the time-dependent Extended CIR term structure model
• A square root interest rate model fitting discrete initial term structure data

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