Bayesian Estimating for cox Ingersoll Ross process

Abstract

the model of term structure of interest rates are consider the most significant and computationally difficult portion of the modern finance due to a relative complexity of using techniques. This article concerns the Bayesian estimation of interest rate models. Assume the short term interest rate follows the Cox Ingersoll Ross (CIR) process , this process has several feature. In particular mean reverting and the other feature is remanis non- negative , so this is what distinguishes it from previous models. It is implement in the R programing.