Cox-Ingersoll-Ross Model

A one‑factor short‑rate model in which the instantaneous short rate r_t follows a mean‑reverting square‑root diffusion dr_t = κ(θ − r_t) dt + σ sqrt(r_t) dW_t; the square‑root volatility term tends to keep r_t nonnegative and the model is affine, yielding closed‑form zero‑coupon bond prices under standard parameter conditions.