Di Francesco, Marco; Kamm, Kevin - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-26
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use the difference between two independent CIR...