Derivation of probability density function of CIR model under a specific condition

dc.contributor.author	Alupotha, K.N.
dc.date.accessioned	2016-11-23T07:43:15Z
dc.date.available	2016-11-23T07:43:15Z
dc.date.issued	2015-11-18
dc.identifier.citation	In Proceedings of 4th Annual International Research Conference – 2015, on “Innovative Perspective in Business, Finance and Information Management”, pp 314-317.	en_US
dc.identifier.isbn	978-955-627-065-5
dc.identifier.uri	http://ir.lib.seu.ac.lk/handle/123456789/1851
dc.description.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.	en_US
dc.language.iso	en_US	en_US
dc.publisher	Faculty of Management and Commerce South Eastern University of Sri Lanka (SEUSL).	en_US
dc.subject	Probability density function	en_US
dc.subject	CIR model	en_US
dc.title	Derivation of probability density function of CIR model under a specific condition	en_US
dc.type	Article	en_US