Numerical solutions of the Cox-Ingersoll-Ross Interest Rate Model

In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. In this paper, we propose a positivity preserving drift-implicit stochastic Runge-Kutta type method for strong approximation of Cox–Ingersoll–Ross process in the regime where the process does not touch zero. Simulation results illustrate the theoretical findings.