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http://ir.lib.seu.ac.lk/handle/123456789/1851| Title: | Derivation of probability density function of CIR model under a specific condition |
| Authors: | Alupotha, K.N. |
| Keywords: | Probability density function CIR model |
| Issue Date: | 18-Nov-2015 |
| Publisher: | Faculty of Management and Commerce South Eastern University of Sri Lanka (SEUSL). |
| Citation: | In Proceedings of 4th Annual International Research Conference – 2015, on “Innovative Perspective in Business, Finance and Information Management”, pp 314-317. |
| Abstract: | In economics and finance, the Cox–Ingersoll–Ross model (or CIR model) is being generally used to model the interest rates. The CIR model is an extension of the Vasicek model and it ensures a mean reversion of the interest rates and it avoids the possibility of negative interest rates. In this work, an explicit formula for probability density function of CIR model has been derived and the final formula comport well when interest rate is close to zero. |
| URI: | http://ir.lib.seu.ac.lk/handle/123456789/1851 |
| ISBN: | 978-955-627-065-5 |
| Appears in Collections: | 4th Annual International Research Conference - 2015 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Proceedings 36 - Page 314-317.pdf | 352.55 kB | Adobe PDF |  View/Open |
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