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

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Diego Ismael León Nieto


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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