Bayesian Estimation For Cox Ingersoll Ross Process

Authors

Muhannad F. Al-Saadony, Department of Statistics, College of Administration and Economics, University of Al-Qadisiyah, Diwaniyah, Iraq,Follow
Reyam Abo-Alhell, Department of Statistics, College of Administration and Economics, University of Al-Qadisiyah, Diwaniyah, Iraq,Follow

Document Type

Article

Abstract

the model of term structure of interest rates are consider the most significant and computationally difficult portion of the modern finance due to a relative complexity of using techniques. This article concerns the Bayesian estimation of interest rate models. Assume the short term interest rate follows the Cox Ingersoll Ross (CIR) process , this process has several feature. In particular mean reverting and the other feature is remanis non- negative , so this is what distinguishes it from previous models. It is implement in the R programing.

Keywords

the interest rate model- Cox Ingersoll ross- MLE-Bayesian estimation-MCMC

Recommended Citation

Al-Saadony, Muhannad F. and Abo-Alhell, Reyam (2021) "Bayesian Estimation For Cox Ingersoll Ross Process," Al-Qadisiyah Journal of Pure Science: Vol. 26 : No. 5 , Article 4.
Available at: https://doi.org/10.29350/qjps.2021.26.5.1456

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This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.