Models of interest rate evolution - Vasicek and CIR models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F09%3A00501888" target="_blank" >RIV/49777513:23520/09:00501888 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Models of interest rate evolution - Vasicek and CIR models
Original language description
This paper treats one-dimensional stochastic models of interest rates. We focused to Vasicek model and Cox-Ingersoll-Ross model which are still quite popular and provide their analysis and improved parameter estimation, based on exact integration of interpolated interest rates, with respect to real LIBOR data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Aplimat 2009 : 8th international conference
ISBN
978-80-89313-31-0
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
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Publisher name
Slovenská technická univerzita
Place of publication
Bratislava
Event location
Bratislava, Slovenska Republika
Event date
Feb 6, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000272790800034