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英文标题：
《On The Calibration of Short-Term Interest Rates Through a CIR Model》
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作者：
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
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最新提交年份：
2018
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英文摘要：
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 market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero when short rates are small; both volatility and long-run mean do not change with time; they do not fit with the skewed (fat tails) distribution of the interest rates, etc. The aim of the present work is to suggest a new framework, which we call the CIR\\# model, that well fits the term structure of short interest rates so that the market volatility structure is preserved as well as the analytical tractability of the original CIR model.
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中文摘要：
众所周知，1985年引入的考克斯-英格索尔-罗斯（Cox-Ingersoll-Ross，CIR）随机利率期限结构模型不足以模拟当前负短期利率的市场环境。此外，当短期利率较小时，利率动力学中的扩散项变为零；波动率和长期均值均不随时间变化；它们不符合利率的倾斜（厚尾）分布等。目前工作的目的是提出一个新的框架，我们称之为CIR模型，该框架非常适合短期利率的期限结构，以便保留市场波动性结构以及原始CIR模型的分析可处理性。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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