Wiener Chaos and the Cox-Ingersoll-Ross model

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dc.creatorGrasselli, M. R.
dc.creatorHurd, T. R.
dc.date2003-07-14
dc.date.accessioned2026-07-07T12:11:08Z
dc.date.available2026-07-07T12:11:08Z
dc.descriptionIn this we paper we recast the Cox--Ingersoll--Ross 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 X. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit formula for the n-th term of the Wiener chaos expansion of the CIR model, for n=0,1,2,.... We then derive a new expression for the price of a zero coupon bond which reveals a connection between Gaussian measures and Ricatti differential equations.
dc.description27 pages
dc.identifierhttps://arxiv.org/abs/math/0307197
dc.identifierhttp://arxiv.org/abs/math/0307197
dc.identifierProc. R. Soc. A (2005) 461, 459Â?"479
dc.identifierdoi:10.1098/rspa.2004.1366
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210134
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H05, 60G15, 91B70
dc.titleWiener Chaos and the Cox-Ingersoll-Ross model
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