Exponential martingales and CIR model

Wojciech Szatzschneider. "Exponential martingales and CIR model." Banach Center Publications 83.1 (2008): 243-249. <http://eudml.org/doc/282528>.

@article{WojciechSzatzschneider2008,
abstract = {With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.},
author = {Wojciech Szatzschneider},
journal = {Banach Center Publications},
keywords = {square root processes; exponential martingales; Girsanov theorem; risk premia},
language = {eng},
number = {1},
pages = {243-249},
title = {Exponential martingales and CIR model},
url = {http://eudml.org/doc/282528},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Wojciech Szatzschneider
TI - Exponential martingales and CIR model
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 243
EP - 249
AB - With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.
LA - eng
KW - square root processes; exponential martingales; Girsanov theorem; risk premia
UR - http://eudml.org/doc/282528
ER -