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Generating Covariances in multifactor CIR model

Author

Listed:
  • Wojciech Szatzschneider

    (Universidad Anáhuac)

Abstract

Se presenta el marco general para generar covarianzas entre instrumentos con tasas de interés libre de riesgo r(t) e instrumentos con intensidad de incumplimiento ?(t) , en el modelo Cox, Ingersoll, Ross (CIR) o en el modelo extendido CIR multifactorial. / This paper presents a general framework of how to generate covariances between riskless interest rate r(t) instruments, and financial instruments with intensity of default ?(t) , in Cox, Ingersoll, Ross (CIR), or in the extended multifactor CIR model

Suggested Citation

  • Wojciech Szatzschneider, 2014. "Generating Covariances in multifactor CIR model," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(1), pages 87-98, enero-jun.
    • Handle: RePEc:sfr:efruam:v:4:y:2014:i:1:p:87-98
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    File URL: http://zaloamati.azc.uam.mx/bitstream/handle/11191/4188/EFR_4_1_4_Generation_in_multifactor_cir%20.pdf?sequence=1&isAllowed=y
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    More about this item

    Keywords

    CIR Model; Multifactor Model for Interest Rate; Girsanov Theorem; Modelo CIR; modelo multifactorial para tasa de interés; Teorema de Girsanov.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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