2012•Unpublished venueRequires access
The Vasicek Model and Estimation of its Parameters
Silvie Kafková, Lenka Křivánková
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Abstract
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.