Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele - In: The Journal of Risk Finance 20 (2019) 4, pp. 370-387
Purpose: The purpose of this paper is to model interest rates from observed financial market data through a new approach to the Cox–Ingersoll–Ross (CIR) model. This model is popular among financial institutions mainly because it is a rather simple (uni-factorial) and better model than the...