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 …

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 …

Short-rate models play an essential part in option pricing by accurately modeling interest
rate movements and valuing interest rate derivatives. This review paper provides an in …

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 …

In this work, we study the existence and uniqueness of the solution to a fractional version of
the Cox–Ingersoll–Ross (fCIR) stochastic differential equation. The strong convergence of …

This article derives simple closed-form solutions for computing Greeks of zero-coupon and
coupon-bearing bond options under the CIR interest rate model, which are shown to be …

In this paper, we introduce a new method to compute the European Call Option price (ct)
under multi-fractional Brownian motion (mBm) with deterministic Hurst function. We build a …

It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term
structure of interest rates, as introduced in 1985, is inadequate for modelling the current …

We develop a numerical algorithm for predicting prices and Greeks of equity-linked
securities (ELS) with a knock-in barrier at any time over the total time period from issue date …