The Vasicek Model and Estimation of its Parameters
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F12%3A00059546" target="_blank" >RIV/00216224:14310/12:00059546 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
The Vasicek Model and Estimation of its Parameters
Original language description
This paper deals with a mathematical model of short-term interest rate, the Vasicek model. First we recall the notions of zero cupon bond and instantaneous rate, then we present the model and derivation of conditional distribution of interest rate. The final part contains an estimation of the Vasicek model parameters and describes the estimation of parameters on real data.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
—
Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers
ISBN
9788021057784
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
24-29
Publisher name
Masaryk University
Place of publication
Brno
Event location
Jedovnice
Event date
Jan 1, 2011
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
—