Concepedia

Concept

cox-ingersoll-ross model

Parents

113

Publications

6.2K

Citations

198

Authors

135

Institutions

About

Cox-ingersoll-ross model is a mathematical framework used primarily in financial economics to model the dynamics of interest rates and other state variables. It is characterized as a stochastic differential equation where the variable follows a square root process, ensuring that the variable remains non-negative and exhibits mean reversion towards a long-term average, making it significant for pricing interest-rate derivatives and understanding term structure dynamics.

Top Authors

Rankings shown are based on concept H-Index.

GO

University of Bari Aldo Moro

MB

Sapienza University of Rome

MM

University of Castilla-La Mancha

FA

University of California, Los Angeles

GD

Université Libre de Bruxelles

Top Institutions

Rankings shown are based on concept H-Index.

Nankai University

Tianjin, China

University of Waterloo

Waterloo, Canada