A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models

Damiano Brigo, F. M. (2001). A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models.

Type

Unclassified

Intellectual base

Unclassified

Year

2001

DOI

10.1007/pl00013541

Link

https://doi.org/10.1007/pl00013541

Cited by

1 citation across 1 artifact.

Domain-specific

• Cox–Ingersoll–Ross model
  • … transfers from When 2ab is at least sigma squared, a positive CIR process does not reach zero under the standard boundary classification. to Calibration distinguishes physical and risk-neutral parameters and tests term-structure fit rather than interpreting estimated long-run mean as a forecast without qualification..

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