Open AccessTHE COX, INGERSOLL AND ROSS EXTENDED MODEL
Author(s) -
Wojciech Szatzschneider
Publication year - 2002
Language(s) - English
Resource type - Journals
ISSN - 1665-5346
DOI - 10.21919/remef.v1i4.142
Subject(s) - simple (philosophy) , cox–ingersoll–ross model , mathematics , laplace transform , short rate model , bessel process , mathematical economics , libor market model , girsanov theorem , short rate , interest rate , affine term structure model , interest rate derivative , econometrics , economics , yield curve , pure mathematics , mathematical analysis , stochastic differential equation , orthogonal polynomials , volatility (finance) , classical orthogonal polynomials , philosophy , gegenbauer polynomials , epistemology , monetary economics