Mathematical Finance

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2 domain-specific abstractions whose origin domain is Mathematical Finance.

• Cox–Ingersoll–Ross model — A mean-reverting square-root diffusion for a nonnegative short interest rate, supporting affine bond pricing and volatility proportional to the square root of the rate.
• Minimal-entropy martingale measure — An equivalent martingale measure selected from an incomplete market by minimizing relative entropy with respect to the objective probability measure.