The Cox–Ingersoll–Ross Interest Rate Model
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In this chapter we study a special case of the factor model presented in Chapter 36. Assuming log utility and a square root model for the production process we derive the Cox–Ingersoll–Ross short rate model.
2000 ◽
Vol 7
(3)
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pp. 183-209
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2015 ◽
Vol 241
(1)
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pp. 109-121
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2015 ◽
Vol 70
(8)
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pp. 1757-1771
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