Like the Vasicek model, the Cox-Ingersoll-Ross model (*Cox at al., 1985*), which is often cited as the CIR model, is a continuous, affine, one-factor stochastic interest rate model. In this model, the instantaneous interest rate dynamics are given by the following stochastic differential equation:

Here, *α*, *β*, and *σ* are positive constants, *r _{t}* is the interest rate,

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