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two factor CIR model
can any one post literature on two factor CIR model. i have to estimate parameters for LIBOR and then price treasury bonds. Its extremely urgent.
two factor CIR model
i am not getting any material on google. But soem site suggests that in two factor CIR model we assume ito process for volatility. what are the parameters for ito process for volatility? For pricing zero coupon bond using two factor CIR do we have some simplified approach or we use brute force monte carlo simulations? any help is welcoe and its urgent
two factor CIR model
i have got chen scott paper(both of them mle & kalman filter). now i understand properly what multifactor cir model is. anyone has tried implementing any of the papers? i need some help. its going really messy