Wiener chaos and the Cox–Ingersoll–Ross model
نویسندگان
چکیده
منابع مشابه
Wiener chaos and the Cox–Ingersoll–Ross model
In this we paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the “squared Gaussian representation” of the CIR model, we find a simple expression for the fundamental random variable X∞. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit...
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ژورنال
عنوان ژورنال: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
سال: 2005
ISSN: 1364-5021,1471-2946
DOI: 10.1098/rspa.2004.1366