The Vasicek Model and Estimation of its Parameters
| Authors | |
|---|---|
| Year of publication | 2012 |
| Type | Article in Proceedings |
| Conference | Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers |
| MU Faculty or unit | |
| Citation | |
| Field | General mathematics |
| Keywords | The Vasicek model; interest rate; maximum likelihood method |
| 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. |