This research aims to propose the so-called CIR#, which takes its cue from the well-known
Cox-Ingersoll-Ross (CIR) model originally devised for pricing, as a general econometric …

The aim of this paper is to propose a new methodology that allows forecasting, through
Vasicek and CIR models, of future expected interest rates based on rolling windows from …

Purpose The purpose of this paper is to model interest rates from observed financial market
data through a new approach to the Cox–Ingersoll–Ross (CIR) model. This model is popular …

In this work, we present our findings of the so‐called CIR#, which is a modified version of the
Cox, Ingersoll, and Ross (CIR) model, turned into a forecasting tool for any term structure …

Purpose The purpose of this study is to suggest a new framework that we call the CIR#,
which allows forecasting interest rates from observed financial market data even when rates …

This paper aims to find the equilibrium investment strategy for a defined contribution pension
plan under the mean–variance criterion where both the interest rate and volatility are …

This paper presents a fractional version of the Heston model in which the volatility Brownian
and price Brownian are replaced by mixed fractional Brownian motions with Hurst parameter …

This work illustrates a tri-factor model referred to as the $ CIR^ 3$ model, where both the
trend and the volatility are stochastic and correlated. For the said model we prove that a …

In this study, we consider the CIR 3 model, a three-factor stochastic model with correlated
trends and volatilities for modeling and forecasting credit default swap (CDS) spreads. After …

It is well known that the CIR model, as introduced in 1985, is inadequate for modelling the
current market environment with negative short rates, r (t). Moreover, in the CIR model, the …