Abstract
We apply the classical model proposed by Cox-Ingersoll-Ross (CIR) to the European Fixed Income Market following two different approaches. In the first case, we apply the non-linear least squares method to cross section data (i.e. all the rates of a single day). In the second case, we consider the short rate obtained by means of the first procedure as a proxy of the real market short rate. Starting on this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. An estimate of the market price of risk is provided by comparing the results obtained with these techniques.
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