Matches in SemOpenAlex for { <https://semopenalex.org/work/W3203628924> ?p ?o ?g. }
- W3203628924 endingPage "618" @default.
- W3203628924 startingPage "593" @default.
- W3203628924 abstract "Abstract In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox–Ingersoll–Ross (CIR) model without introducing a shift to the market interest rates, because it is defined as the difference of two independent CIR processes. The strength of our model lies within the fact that it is very simple and can be calibrated to the market zero yield curve using an analytical formula. We run several numerical experiments at two different dates, once with a partially sub-zero interest rate and once with a fully negative interest rate. In both cases, we obtain good results in the sense that the model reproduces the market term structures very well. We then simulate the model using the Euler–Maruyama scheme and examine the mean, variance and distribution of the model. The latter agrees with the skewness and fat tail seen in the original CIR model. In addition, we compare the model’s zero coupon prices with market prices at different future points in time. Finally, we test the market consistency of the model by evaluating swaptions with different tenors and maturities." @default.
- W3203628924 created "2021-10-11" @default.
- W3203628924 creator A5062216068 @default.
- W3203628924 creator A5075842742 @default.
- W3203628924 date "2021-10-04" @default.
- W3203628924 modified "2023-10-16" @default.
- W3203628924 title "How to handle negative interest rates in a CIR framework" @default.
- W3203628924 cites W145047050 @default.
- W3203628924 cites W1560177803 @default.
- W3203628924 cites W1581921962 @default.
- W3203628924 cites W1906027792 @default.
- W3203628924 cites W1953012778 @default.
- W3203628924 cites W1971975617 @default.
- W3203628924 cites W1993924242 @default.
- W3203628924 cites W1998031535 @default.
- W3203628924 cites W2041264023 @default.
- W3203628924 cites W2076057077 @default.
- W3203628924 cites W2115906242 @default.
- W3203628924 cites W2137404094 @default.
- W3203628924 cites W2163208662 @default.
- W3203628924 cites W2802555813 @default.
- W3203628924 cites W2976947297 @default.
- W3203628924 cites W2977187972 @default.
- W3203628924 cites W2996144794 @default.
- W3203628924 cites W3021444882 @default.
- W3203628924 cites W4231057775 @default.
- W3203628924 cites W4232080940 @default.
- W3203628924 cites W4290960473 @default.
- W3203628924 cites W4301088890 @default.
- W3203628924 doi "https://doi.org/10.1007/s40324-021-00267-w" @default.
- W3203628924 hasPublicationYear "2021" @default.
- W3203628924 type Work @default.
- W3203628924 sameAs 3203628924 @default.
- W3203628924 citedByCount "1" @default.
- W3203628924 countsByYear W32036289242022 @default.
- W3203628924 crossrefType "journal-article" @default.
- W3203628924 hasAuthorship W3203628924A5062216068 @default.
- W3203628924 hasAuthorship W3203628924A5075842742 @default.
- W3203628924 hasBestOaLocation W32036289241 @default.
- W3203628924 hasConcept C121332964 @default.
- W3203628924 hasConcept C121955636 @default.
- W3203628924 hasConcept C122342681 @default.
- W3203628924 hasConcept C138885662 @default.
- W3203628924 hasConcept C149782125 @default.
- W3203628924 hasConcept C151205565 @default.
- W3203628924 hasConcept C162324750 @default.
- W3203628924 hasConcept C175025494 @default.
- W3203628924 hasConcept C176230804 @default.
- W3203628924 hasConcept C183732909 @default.
- W3203628924 hasConcept C196083921 @default.
- W3203628924 hasConcept C19736811 @default.
- W3203628924 hasConcept C2524010 @default.
- W3203628924 hasConcept C2776436953 @default.
- W3203628924 hasConcept C2780813799 @default.
- W3203628924 hasConcept C33923547 @default.
- W3203628924 hasConcept C41895202 @default.
- W3203628924 hasConcept C54775282 @default.
- W3203628924 hasConcept C556758197 @default.
- W3203628924 hasConcept C61797465 @default.
- W3203628924 hasConcept C62520636 @default.
- W3203628924 hasConcept C91602232 @default.
- W3203628924 hasConcept C93246554 @default.
- W3203628924 hasConceptScore W3203628924C121332964 @default.
- W3203628924 hasConceptScore W3203628924C121955636 @default.
- W3203628924 hasConceptScore W3203628924C122342681 @default.
- W3203628924 hasConceptScore W3203628924C138885662 @default.
- W3203628924 hasConceptScore W3203628924C149782125 @default.
- W3203628924 hasConceptScore W3203628924C151205565 @default.
- W3203628924 hasConceptScore W3203628924C162324750 @default.
- W3203628924 hasConceptScore W3203628924C175025494 @default.
- W3203628924 hasConceptScore W3203628924C176230804 @default.
- W3203628924 hasConceptScore W3203628924C183732909 @default.
- W3203628924 hasConceptScore W3203628924C196083921 @default.
- W3203628924 hasConceptScore W3203628924C19736811 @default.
- W3203628924 hasConceptScore W3203628924C2524010 @default.
- W3203628924 hasConceptScore W3203628924C2776436953 @default.
- W3203628924 hasConceptScore W3203628924C2780813799 @default.
- W3203628924 hasConceptScore W3203628924C33923547 @default.
- W3203628924 hasConceptScore W3203628924C41895202 @default.
- W3203628924 hasConceptScore W3203628924C54775282 @default.
- W3203628924 hasConceptScore W3203628924C556758197 @default.
- W3203628924 hasConceptScore W3203628924C61797465 @default.
- W3203628924 hasConceptScore W3203628924C62520636 @default.
- W3203628924 hasConceptScore W3203628924C91602232 @default.
- W3203628924 hasConceptScore W3203628924C93246554 @default.
- W3203628924 hasFunder F4320335254 @default.
- W3203628924 hasIssue "4" @default.
- W3203628924 hasLocation W32036289241 @default.
- W3203628924 hasLocation W32036289242 @default.
- W3203628924 hasOpenAccess W3203628924 @default.
- W3203628924 hasPrimaryLocation W32036289241 @default.
- W3203628924 hasRelatedWork W2133454976 @default.
- W3203628924 hasRelatedWork W2139115991 @default.
- W3203628924 hasRelatedWork W2235334600 @default.
- W3203628924 hasRelatedWork W2285882030 @default.
- W3203628924 hasRelatedWork W2484619679 @default.
- W3203628924 hasRelatedWork W3169727122 @default.
- W3203628924 hasRelatedWork W3173320316 @default.