12 citations · 13 across the 3 of their papers we have counts for
3 papers
Forecasting interest rates through Vasicek and CIR models: a partitioning approach
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rollin…
On The Calibration of Short-Term Interest Rates Through a CIR Model
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
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 ma…
Identification of a diffusion coefficient in strongly degenerate parabolic equations with interior degeneracy
Genni Fragnelli, Gabriela Marinoschi, Rosa Maria Mininni +1
We study two identification problems in relation with a strongly degenerate parabolic diffusion equation characterized by a vanishing diffusion coefficient wit…