El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos

Diego Ismael León Nieto

Resumen


Este artículo presenta el modelo Cox-Ingersoll-Ross para la modelación de tasas de interés y su relación con el proceso estocástico de Feller; como un modelo paramétrico se muestran las principales sensibilidades a sus parámetros y sus aplicaciones.


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Referencias


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DOI: https://doi.org/10.18601/17941113.n13.03

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Publicado: 2018-05-09 13:07:16



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