Journal article
Wiener chaos and the CoxIngersollRoss model
Abstract
In this paper we recast the Cox–Ingersoll–Ross (CIR) 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
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Authors
Grasselli MR; Hurd TR
Journal
Proceedings of the Royal Society A, Vol. 461, No. 2054, pp. 459–479
Publisher
The Royal Society
Publication Date
February 8, 2005
DOI
10.1098/rspa.2004.1366
ISSN
1364-5021