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The Cox, Ingersoll And Ross Extended Model

Author

Listed:
  • Wojciech Szatzschneider

    (Universidad Anáhuac del Norte)

Abstract

Este trabajo presenta una construcción simple del modelo extendido de Cox, Ingersoll y Ross para la estructura de plazos de la tasa de interés, así como una forma simple de valuar productos derivados generales de tasa de interés con este modelo. Para valuar bonos cupón cero, se calcula la transformada de Laplace de funcionales de un proceso "elemental", el cual es tomado como un proceso cuadrático de Bessel. Este enfoque aprovecha las ventajas de la propiedad de martingala y del teorema de Girsanov permitiendo la presentación de resuitados en una forma amigable. Además, se propone y aplica un método elemental para la calibración del modelo de un factor ECIR mediante registros históricos de los precios de bonos.

Suggested Citation

  • Wojciech Szatzschneider, 2002. "The Cox, Ingersoll And Ross Extended Model," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(4), pages 319-322, Diciembre.
    • Handle: RePEc:imx:journl:v:1:y:2002:i:4:p:319-322
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/142
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    References listed on IDEAS

    as
    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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    More about this item

    Keywords

    Term structure of interest rates; Bessel processes; Girsanov theorem; Time transformation; Bonds and option pricing;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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