Generating Covariances in multifactor CIR model

Wojciech Szatzschneider ()
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Wojciech Szatzschneider: Universidad Anáhuac

Estocástica: finanzas y riesgo, 2014, vol. 4, issue 1, 87-98

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

Keywords: CIR Model; Multifactor Model for Interest Rate; Girsanov Theorem; Modelo CIR; modelo multifactorial para tasa de interés; Teorema de Girsanov. (search for similar items in EconPapers)
JEL-codes: C15 C58 C63 (search for similar items in EconPapers)
Date: 2014
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