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| Author: | Rhys, H. Tippett, M. |
| Title: | A Binomial Basis for the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates |
| Journal: | Journal of Business Finance and Accounting
2001 : VOL. 28:3-4, p. 379-406 |
| Index terms: | INTEREST RATES TERM STRUCTURE OF INTEREST RATES FINANCE |
| Language: | eng |
| Abstract: | Hence, the authors' purpose in this paper is to formalise both investor preferences and the supply side which underscores the Cox, Ingersoll and Ross (1985b) 'square root' model of the term structure of interest rates in terms of some simple binomial filtration processes, thereby avoiding most of the intricate technical detail contained in the original papers. These procedures not only allow for a more focused evaluation of the model's underlying strengths and weaknesses but also provide a framework for assessing some of the strategies which the model makes available for hedging exposure against adverse interest rate movements. |
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