2 papers
q-fin.TR2022
On the deterministic-shift extended CIR model in a negative interest rate framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR…
q-fin.TR2021
How to handle negative interest rates in a CIR framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model wi…