Lecture 07Brigo & Mercurio Sections 3.2.2–3.2.5
Dothan, CIR, and EV
Continuing classical one-factor short-rate models: Dothan lognormal rates, CIR square-root diffusion, affine term-structure structure, Exponential Vasicek, positivity, mean reversion, tractability, and model-selection tradeoffs.
Lecture Video
Text Coverage
Brigo & Mercurio Sections 3.2.2–3.2.5
Brigo & Mercurio, Interest Rate Models, 2nd ed.