Web: https://towardsdatascience.com/stochastic-processes-simulation-the-cox-ingersoll-ross-process-c45b5d206b2b?source=rss----7f60cf5620c9---4

May 11, 2022, 7:28 p.m. | Diego Barba

Towards Data Science - Medium towardsdatascience.com

Stochastic Processes Simulation — The Cox-Ingersoll-Ross Process

Part 3 of the Stochastic Processes Simulation series. Simulating the Cox-Ingersoll-Ross process in Python from scratch.

Image by author.

The Cox-Ingersoll-Ross (CIR) process is another stationary process of great importance. Albeit most of its applications lie in the financial realm, it is an interesting stationary stochastic process in its own right.

It is the simplest particular case of basic affine jump diffusive processes and an ergodic process.

The main characteristic of this process, …

monte-carlo-simulation process processes simulation stochastic stochastic process time-series-analysis

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