Cox–Ingersoll–Ross (CIR) Model

This article intends to give a short presentation of the Cox– Ingersoll– Ross (CIR) model, giving the main features that have contributed to its success. It provides the basic mathematical knowledge on this model and the fundamental pricing results for caps and swaptions. Finally, it hints at practical questions such as calibration and Monte Carlo simulation.

Keywords: square-root process; short-rate model; affine model, cap; swaption; calibration