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…

Papers overview

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2015

We consider the problem of an optimal consumption strategy on the infinite time horizon based on the hyperbolic absolute risk…

2009

In this paper,we focus on the research of the limitation and efficiency of formula solution for basket default swap based on…

2009

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a…

2008

By introducing Brownian motion to finance, Black, Scholes, and Merton caused a quantum jump in sophistication and realism in the…

2007

Abstract This study investigates the risk inherent in defined contribution (DC) pension plans on an individual and aggregate…

2007

In short rate interest rate models, the behaviour of the short rate is given by a stochastic dierential equation (1-factor models…

2007

This paper studies a borrower's optimal decision, when he has the choice to make early pay- ment, to close a flxed rate mortgage…

2003

Distantly maturing forward rates represent the markets long term (risk neutral) expectations about interest rates. As such, they…

2002

We consider equity-linked debt where the holder receives both interest payments and payments linked to the performance of an…

2001