Fitting Cox-Ingersoll-Ross Model Using Kalman Filter

This project focuses on estimating the term structure of interest rates using the Cox-Ingersoll-Ross (CIR) model and the Kalman filter.

Project Overview

The goal of this project is to estimate the term structure of interest rates under the CIR model. The Kalman filter is employed to estimate the parameters of the model and obtain the term structure.

Resources

• PDF: The PDF that explains the methodology and presents the results of the estimation using the Kalman filter.