The Vasiček Model

Gennady A. Medvedev ()
Additional contact information
Gennady A. Medvedev: Belarusian State University

Chapter Chapter 3 in Yield Curves and Forward Curves for Diffusion Models of Short Rates, 2019, pp 27-39 from Springer

Abstract: Abstract Analytical results of Chap. 2 are used to examine the yield curveYield curve and the forward curveForward curve of simple type models that admit explicit solutions. First we consider the one-factor model and then we explore a few two-factor modelsTwo-factor model . These models are compared and a numerical example based on the analysis of real data is presented.

Keywords: Yield interest rates; Affine model; Vasiček model; Term structure functions; Yield curve; Forward curve; Two-factor models (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-15500-1_3

Ordering information: This item can be ordered from
http://www.springer.com/9783030155001

DOI: 10.1007/978-3-030-15500-1_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().