The Cox-Ingersoll-Ross Model in Python
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The video
In a previous video, we developed the Rate class, which enables us to simulate interest rates using the Vasicek (1977) model. We will extend our class by adding a new method that uses the Cox-Ingersoll-Ross Model. The difference is in the stochastic volatility component, which is scaled by the square root of past interest rates. Hence, volatility increases in an environment with high-interest rates, which is in line with empirical evidence.
GitHub
https://github.com/GerhardKling/Simul...
The channel
YUNIKARN focuses on publishing educational content in applied statistics, mathematics, and data science. In these fields, programming skills have become essential. Hence, we cover various programming languages, including Python, Stata, and C++, to tackle problems and for fun. We upload on Mondays recorded tutorials or live streams.
Hashtags
#simulation #python #coxingersollross
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