Volatility & Derivatives
The buyer of an American Option has the right to exercise the option at any time before and including the maturity date of the option
July 2, 2024
The Cox-Ingersoll-Ross (CIR) Model
Category :
February 24, 2024
The Cox-Ingersoll-Ross (CIR) model is a stochastic interest rate model used in finance to describe the evolution of interest rates.
The model was introduced in 1985 as an alternative to the Vasicek model (The Vasicek Model).
It assumes that the short-term interest rate follows a mean-reverting stochastic process, it does not allow negative interest rates while preserving analytical solution for bond pricings.
It is also used in the popular stochastic volatility Heston model to model the stochastic variance (The Heston Model for Option Pricing).
Presentation
Save 10% on All Quant Next Courses with the Coupon Code: QuantNextBlog10
For students and graduates: We offer a 50% discount on all courses, please contact us if you are interested: contact@quant-next.com
To go further...
Credit Risk Modelling and Management
We will focus here on the default time distribution. We will see the relationship between the cumulative and the marginal default rates and how these
June 24, 2024
Volatility & Derivatives
Finite-difference methods is the generic term for a large number of techniques that can be used for solving differential equations, approximating derivatives with finite differences.
June 18, 2024
