Interest rates calibration with a CIR model
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DOI: 10.1108/JRF-05-2019-0080
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Cited by:
- Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2020.
"Forecasting interest rates through Vasicek and CIR models: A partitioning approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 569-579, July.
- Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2019. "Forecasting interest rates through Vasicek and CIR models: a partitioning approach," Papers 1901.02246, arXiv.org, revised Jan 2019.
- Bufalo, Michele & Orlando, Giuseppe, 2023. "A three-factor stochastic model for forecasting production of energy materials," Finance Research Letters, Elsevier, vol. 51(C).
- Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Binti Abdul Halim, 2022. "Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach," Mathematics, MDPI, vol. 10(22), pages 1-22, November.
- Marco Di Francesco & Kevin Kamm, 2021. "How to handle negative interest rates in a CIR framework," Papers 2106.03716, arXiv.org.
- Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Single Earthquake Bond Pricing Framework with Double Trigger Parameters Based on Multi Regional Seismic Information," Mathematics, MDPI, vol. 11(3), pages 1-44, January.
- Mohamed Ben Alaya & Ahmed Kebaier & Djibril Sarr, 2021. "Deep Calibration of Interest Rates Model," Papers 2110.15133, arXiv.org, revised Sep 2024.
- Giuseppe Orlando & Michele Bufalo, 2022. "A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1608-1622, December.
- Giuseppe Orlando & Michele Bufalo, 2021. "Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1566-1580, December.
- Giuseppe Orlando & Michele Bufalo, 2021. "Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions," Risks, MDPI, vol. 9(5), pages 1-35, May.
- Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).
More about this item
Keywords
Calibration; Forecasting and simulation; Interest rates; CIR model; G12; E43; E47;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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