コックス・インガーソル・ロス・モデル
1. Cox–Ingersoll–Ross modelIn mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of "one factor model" as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives. It was introduced in 1985 by John C. Cox, Jonathan E. Ingersoll and Stephen A. Ross as an extension of the Vasicek model.
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Read “Cox–Ingersoll–Ross model” on English Wikipedia
Read “コックス・インガーソル・ロス・モデル” on Japanese Wikipedia
Read “Cox–Ingersoll–Ross model” on DBpedia
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