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Vasicek model

In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short rate model as it… 
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Related topics

Related topics

10 relations
Affine term structure modelBlack–Derman–Toy modelBlack–Karasinski modelCox–Ingersoll–Ross model

Papers overview

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Highly Cited
2017
Highly Cited
2017
Time-consistent mean–variance asset–liability management with random coefficients
2015
2015
OPTIMAL CONSUMPTION PROBLEM IN THE VASICEK MODEL
We consider the problem of an optimal consumption strategy on the infinite time horizon based on the hyperbolic absolute risk… 
2012
2012
Risk measures and behaviors for bonds under stochastic interest rate models
2011
2011
Enhancing credit default swap valuation with meshfree methods
2008
2008
Pricing American Interest Rate Options under the Jump-Extended Vasicek Model
By introducing Brownian motion to finance, Black, Scholes, and Merton caused a quantum jump in sophistication and realism in the… 
2007
2007
The Impact of DC Pension Systems on Population Dynamics
Abstract This study investigates the risk inherent in defined contribution (DC) pension plans on an individual and aggregate… 
Highly Cited
2006
Highly Cited
2006
Report on the 2nd international meeting of the IUGS lower Cretaceous ammonite working group, the ‘‘Kilian Group''(Neuchâtel, Switzerland, 8 September 2005)
2006
2006
The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application ∗
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical… 
Review
2004
Review
2004
Three ways to solve for bond prices in the Vasicek model
Three approaches in obtaining the closed-form solution of the Vasicek bond pricing problem are discussed in this exposition. A… 
Highly Cited
2003
Highly Cited
2003
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk… 
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