Some Properties of CIR Processes

DOI10.1080/07362990600753643MaRDI QIDQ5484536zbMATH OpenOpenAlexFDO

Authors Hsien-Jen Lin, Ching-Sung Chou

Publication date 21 August 2006

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990600753643

zbMATH Keywords

confluent hypergeometric functionsgeometric Brownian motionresolventfirst hitting timessquared Bessel processesstock price processradial Ornstein-Uhlenbeck processCox-Ingersoll-Ros (CIR) processesfinancial barrier options

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

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• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A decomposition of Bessel Bridges
• A survey and some generalizations of Bessel processes
• A theory of the term structure of interest rates
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Consols In the Cir Model
• Mathematics of financial markets
• Some probabilistic properties of Bessel functions
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• Two singular diffusion problems

Cited in

(19)

• On first hitting times for skew CIR processes
• Squared Bessel processes and their applications to the square root interest rate model
• Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Some properties of doubly skewed CIR processes
• Finite-dimensional distributions of a square-root diffusion
• Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
• Solving inverse problems in stochastic models using deep neural networks and adversarial training
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
• Hitting times for sticky skew CIR process
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• The Cox-Ingersoll-Ross process under volatility uncertainty
• On backward Kolmogorov equation related to CIR process
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• Exponential martingales and CIR model
• On a discrete version of the CIR process
• Properties of the Cox-Ingersoll-Ross interest rate processes with two-sided reflections
• Generalisation of fractional Cox-Ingersoll-Ross process
• Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio

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