Rodrigo, Marianito R.; Mamon, Rogemar S. - In: Quantitative Finance 14 (2014) 11, pp. 1961-1970
We propose a new method to calibrate the Vasicek and Cox--Ingersoll--Ross interest rate models from bond prices. We define an appropriate generating function and derive recursive relations between the derivatives of the generating function and the bond prices. The parameters of the Vasicek and...