The Cox-Ingersoll-Ross Model Stationary Distribution as a Solution of the Kolmogorov Equation

Abstract. The models of term structure of interest rates are probably the most computationally difficult part of the modern finance due to a relative complicity of application techniques. The author provides two specific term structure models and investigates the stationary probability distribution of Cox-Ingersoll-Ross model with Kolmogorov transition equation as a necessary solution for implementation of the mentioned model into MATLAB environment, in order to create simple and useful tool for simulating an adequate and accurate forecasts of interest rates dynamics. Key words: models of term structure of interest rates, Vasice