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Regular Perturbation Approach to Nonsteady Drift of the Cox-Ingersoll-Ross Model

https://doi.org/10.2139/ssrn.1519676
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/jsco.2001.0508openalex-extracted
The Riccati Equation in Mathematical Finance
inferredcites →https://doi.org/10.1007/3-540-34604-xopenalex-extracted
Interest rate models : theory and practice : with smile, inflation and credit
inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-extracted
Monte Carlo Methods in Financial Engineering
inferredcites →https://doi.org/10.1007/978-1-4757-2435-6_8openalex-extracted
Which Model for Term-Structure of Interest Rates Should One Use?
inferredcites →https://doi.org/10.1007/978-3-662-04553-4openalex-extracted
Interest Rate Models Theory and Practice
inferredcites →https://doi.org/10.1007/s00780-004-0131-xopenalex-extracted
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
inferredcites →https://doi.org/10.1016/j.apnum.2006.11.013openalex-extracted
Structure preserving stochastic integration schemes in interest rate derivative modeling
inferredcites →https://doi.org/10.1088/1751-8113/40/35/012openalex-extracted
Solutions for certain classes of the Riccati differential equation
inferredcites →https://doi.org/10.1093/rfs/3.4.573openalex-extracted
Pricing Interest-Rate-Derivative Securities
inferredcites →https://doi.org/10.1137/s0036139903437357openalex-extracted
Calibration of the Extended CIR Model
inferredcites →https://doi.org/10.1137/s003614299834736xopenalex-extracted
Mean-Square and Asymptotic Stability of the Stochastic Theta Method
inferredcites →https://doi.org/10.1515/156939605777438569openalex-extracted
On the discretization schemes for the CIR (and Bessel squared) processes
inferredcites →https://doi.org/10.2139/ssrn.292060openalex-extracted
On Deterministic Shift Extensions of Short Rate Models
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2965618openalex-extracted
Financial Calculus: An Introduction to Derivative Pricing.
inferredcites →https://doi.org/10.20347/wias.preprint.160openalex-snapshot
Numerical regularization for SDEs: Construction of nonnegative solutions

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1519677openalex-extracted
Drift of the Cox-Ingersoll-Ross Model Under Time-Varying Mean-Reversion
inferred← citeshttps://doi.org/10.2139/ssrn.2053538openalex-extracted
European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate
inferred← citeshttps://doi.org/10.2139/ssrn.2072614openalex-extracted
European Option Under Jump-Diffusion and Stochastic Interest Rate
inferred← citeshttps://doi.org/10.2139/ssrn.2320095openalex-extracted
Calibrating Drift of Short-Rate Models with Jump-Diffusion
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