[{"@context":"http:\/\/schema.org\/","@type":"BlogPosting","@id":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/325991#BlogPosting","mainEntityOfPage":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/325991","headline":"\u30b3\u30c3\u30af\u30b9\u30fb\u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\u30fb\u30ed\u30b9\u30fb\u30e2\u30c7\u30eb – Wikipedia","name":"\u30b3\u30c3\u30af\u30b9\u30fb\u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\u30fb\u30ed\u30b9\u30fb\u30e2\u30c7\u30eb – Wikipedia","description":"\u30b3\u30c3\u30af\u30b9\u30fb\u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\u30fb\u30ed\u30b9\u30fb\u30e2\u30c7\u30eb\uff08\u82f1: Cox-Ingersoll-Ross model\uff09\u3042\u308b\u3044\u306f CIR \u30e2\u30c7\u30eb\u306f\u3001\u6570\u7406\u30d5\u30a1\u30a4\u30ca\u30f3\u30b9\u306b\u304a\u3044\u3066\u5229\u5b50\u7387\u306e\u6642\u9593\u7684\u5909\u52d5\u3092\u8a18\u8ff0\u3059\u308b\u6570\u7406\u30e2\u30c7\u30eb\u306e\u4e00\u3064\u3067\u3042\u308b\u3002 \u77ed\u671f\u5229\u5b50\u7387\u3092\u6271\u3046\u5358\u56e0\u5b50\u30e2\u30c7\u30eb\u306e\u4e00\u3064\u3067\u3042\u308a\u3001\u5229\u5b50\u7387\u306e\u5909\u52d5\u3092\u5e02\u5834\u30ea\u30b9\u30af\u3068\u3044\u3046\u5358\u4e00\u306e\u8981\u56e0\u3067\u8aac\u660e\u3059\u308b\u3002 CIR \u30e2\u30c7\u30eb\u306f\u3001\u91d1\u5229\u30c7\u30ea\u30d0\u30c6\u30a3\u30d6\u306e\u8a55\u4fa1\u306b\u4f7f\u7528\u3059\u308b\u3053\u3068\u304c\u53ef\u80fd\u3067\u3042\u308b\u3002 1985\u5e74\u306b\u3001\u30b8\u30e7\u30f3 C. \u30b3\u30c3\u30af\u30b9\uff08John C. Cox\uff09\u3001\u30b8\u30e7\u30ca\u30b5\u30f3 E. \u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\uff08Jonathan E. Ingersoll\uff09\u3001\u30b9\u30c6\u30d5\u30a1\u30f3 A. \u30ed\u30b9\uff08Stephen A.","datePublished":"2022-04-20","dateModified":"2022-04-20","author":{"@type":"Person","@id":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/author\/lordneo#Person","name":"lordneo","url":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/author\/lordneo","image":{"@type":"ImageObject","@id":"https:\/\/secure.gravatar.com\/avatar\/c9645c498c9701c88b89b8537773dd7c?s=96&d=mm&r=g","url":"https:\/\/secure.gravatar.com\/avatar\/c9645c498c9701c88b89b8537773dd7c?s=96&d=mm&r=g","height":96,"width":96}},"publisher":{"@type":"Organization","name":"Enzyklop\u00e4die","logo":{"@type":"ImageObject","@id":"https:\/\/wiki.edu.vn\/wiki4\/wp-content\/uploads\/2023\/08\/download.jpg","url":"https:\/\/wiki.edu.vn\/wiki4\/wp-content\/uploads\/2023\/08\/download.jpg","width":600,"height":60}},"image":{"@type":"ImageObject","@id":"https:\/\/wikimedia.org\/api\/rest_v1\/media\/math\/render\/svg\/4caeac31da2e3af6ba0078d7d6ef205cc9af7fe6","url":"https:\/\/wikimedia.org\/api\/rest_v1\/media\/math\/render\/svg\/4caeac31da2e3af6ba0078d7d6ef205cc9af7fe6","height":"","width":""},"url":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/325991","about":["Wiki"],"wordCount":1244,"articleBody":"\u30b3\u30c3\u30af\u30b9\u30fb\u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\u30fb\u30ed\u30b9\u30fb\u30e2\u30c7\u30eb\uff08\u82f1: Cox-Ingersoll-Ross model\uff09\u3042\u308b\u3044\u306f CIR \u30e2\u30c7\u30eb\u306f\u3001\u6570\u7406\u30d5\u30a1\u30a4\u30ca\u30f3\u30b9\u306b\u304a\u3044\u3066\u5229\u5b50\u7387\u306e\u6642\u9593\u7684\u5909\u52d5\u3092\u8a18\u8ff0\u3059\u308b\u6570\u7406\u30e2\u30c7\u30eb\u306e\u4e00\u3064\u3067\u3042\u308b\u3002\u77ed\u671f\u5229\u5b50\u7387\u3092\u6271\u3046\u5358\u56e0\u5b50\u30e2\u30c7\u30eb\u306e\u4e00\u3064\u3067\u3042\u308a\u3001\u5229\u5b50\u7387\u306e\u5909\u52d5\u3092\u5e02\u5834\u30ea\u30b9\u30af\u3068\u3044\u3046\u5358\u4e00\u306e\u8981\u56e0\u3067\u8aac\u660e\u3059\u308b\u3002CIR \u30e2\u30c7\u30eb\u306f\u3001\u91d1\u5229\u30c7\u30ea\u30d0\u30c6\u30a3\u30d6\u306e\u8a55\u4fa1\u306b\u4f7f\u7528\u3059\u308b\u3053\u3068\u304c\u53ef\u80fd\u3067\u3042\u308b\u30021985\u5e74\u306b\u3001\u30b8\u30e7\u30f3 C. \u30b3\u30c3\u30af\u30b9\uff08John C. Cox\uff09\u3001\u30b8\u30e7\u30ca\u30b5\u30f3 E. \u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\uff08Jonathan E. Ingersoll\uff09\u3001\u30b9\u30c6\u30d5\u30a1\u30f3 A. \u30ed\u30b9\uff08Stephen A. Ross\uff09 \u306e\u4e09\u540d\u306b\u3088\u308a\u3001\u30d0\u30b7\u30c1\u30a7\u30c3\u30af\u30fb\u30e2\u30c7\u30eb\uff08\u82f1: Vasicek model\uff09\u306e\u62e1\u5f35\u3068\u3057\u3066\u5c0e\u5165\u3055\u308c\u305f\u3002  CIR \u30e2\u30c7\u30eb\u306f\u3001\u77ac\u9593\u5229\u5b50\u7387\u304c\u4ee5\u4e0b\u306e\u78ba\u7387\u5fae\u5206\u65b9\u7a0b\u5f0f\u306b\u5f93\u3046\u3068\u3059\u308b\u3002drt=a(b\u2212rt)dt+\u03c3rtdWt{displaystyle dr_{t}=a(b-r_{t}),dt+sigma {sqrt {r_{t}}},dW_{t}}  \u3053\u306e\u78ba\u7387\u904e\u7a0b\u306f\u3001CIR \u904e\u7a0b\u3068\u547c\u3070\u308c\u308b\u3002\u3053\u3053\u306b a\u3001b\u3001\u03c3 \u306f\u6b63\u306e\u5b9a\u6570\u3067\u3042\u308a\u3001Wt \u306f\u3001\u7121\u4f5c\u70ba\u306a\u5e02\u5834\u30ea\u30b9\u30af\u56e0\u5b50\u3092\u30e2\u30c7\u30eb\u5316\u3057\u305f\u30a6\u30a3\u30fc\u30ca\u30fc\u904e\u7a0b\u3067\u3042\u308b\u3002\u3053\u306e\u78ba\u7387\u5fae\u5206\u65b9\u7a0b\u5f0f\u306b\u306f\u3001\u975e\u8ca0\u306e\u89e3\u304c\u5b58\u5728\u3059\u308b\u3002\u30c9\u30ea\u30d5\u30c8\u56e0\u5b50 a(b\u2212rt) \u306b\u3064\u3044\u3066\u306f\u3001\u30d0\u30b7\u30c1\u30a7\u30c3\u30af\u30fb\u30e2\u30c7\u30eb\uff08drt = a(b\u2212rt)dt+ \u03c3dWt \uff09\u3068\u5168\u304f\u540c\u4e00\u3067\u3042\u308b\u3002\u9577\u671f\u7684\u306b\u306f\u5024 b \u3078\u5411\u304b\u3046\u5229\u5b50\u7387\u306e\u5e73\u5747\u56de\u5e30\u6027\u304c\u78ba\u4fdd\u3055\u308c\u3066\u304a\u308a\u3001\u305d\u306e\u8abf\u6574\u901f\u5ea6\u306f\u3001\u6b63\u5024\u5a92\u4ecb\u5909\u6570 a \u306b\u3088\u308a\u5b8c\u5168\u306b\u652f\u914d\u3055\u308c\u308b\u3002\u6a19\u6e96\u504f\u5dee\u56e0\u5b50 \u03c3rt{displaystyle sigma {sqrt {r_{t}}}!} \u306f\u3001  "},{"@context":"http:\/\/schema.org\/","@type":"BreadcrumbList","itemListElement":[{"@type":"ListItem","position":1,"item":{"@id":"https:\/\/wiki.edu.vn\/jp\/wiki15\/#breadcrumbitem","name":"Enzyklop\u00e4die"}},{"@type":"ListItem","position":2,"item":{"@id":"https:\/\/wiki.edu.vn\/jp\/wiki15\/archives\/325991#breadcrumbitem","name":"\u30b3\u30c3\u30af\u30b9\u30fb\u30a4\u30f3\u30ac\u30fc\u30bd\u30eb\u30fb\u30ed\u30b9\u30fb\u30e2\u30c7\u30eb – Wikipedia"}}]}]