Cox–Ingersoll–Ross model
Stochastic model for the evolution of financial interest rates / From Wikipedia, the free encyclopedia
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In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives. It was introduced in 1985[1] by John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross as an extension of the Vasicek model, itself an Ornstein–Uhlenbeck_process.