activity
20132019
most citedIdentification of a diffusion coefficient in strongly degenerate parabolic equations with interior degeneracy

12 citations · 13 across the 3 of their papers we have counts for

collaborators
Showing 2018Show all

1 paper · 1 filter

q-fin.CP2018

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…