Open AccessBayesian Estimation For Cox Ingersoll Ross Process
Author(s) -
Reyam abo-alhell,
Muhannad F. Al Saadony
Publication year - 2021
Publication title -
mağallaẗ al-qādisiyyaaẗ li-l-ʻulūm al-ṣirfaẗ
Language(s) - English
Resource type - Journals
eISSN - 2411-3514
pISSN - 1997-2490
DOI - 10.29350/qjps.2021.26.5.1456
Subject(s) - cox–ingersoll–ross model , bayesian probability , interest rate , feature (linguistics) , computer science , estimation , econometrics , term (time) , process (computing) , bayesian inference , artificial intelligence , mathematics , economics , finance , philosophy , linguistics , physics , management , quantum mechanics , operating system
the model of term structure of interest rates are consider the most significant and computationally difficult portion of the modern finance due to a relative complexity of using techniques. This article concerns the Bayesian estimation of interest rate models. Assume the short term interest rate follows the Cox Ingersoll Ross (CIR) process , this process has several feature. In particular mean reverting and the other feature is remanis non- negative , so this is what distinguishes it from previous models. It is implement in the R programing.