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Estimating the Short Rate from the Term Structures in the Vasicek Model Cover

Estimating the Short Rate from the Term Structures in the Vasicek Model

Tatra Mountains Mathematical Publications
Volume 61 (2014): Issue 1 (December 2014)
By: ,   and    
Open Access
|Mar 2015
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DOI: https://doi.org/10.2478/tmmp-2014-0029 | Journal eISSN: 1338-9750 | Journal ISSN: 1210-3195
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Language: English
Page range: 87 - 103
Submitted on: Dec 3, 2012
Published on: Mar 11, 2015
Published by: Slovak Academy of Sciences, Mathematical Institute
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
short rate,
term structure,
Vasicek model,
calibration
Related subjects:
Mathematics,
General mathematics

© 2015 Jana Halgašová, Beáta Stehlíková, Zuzana Bučková, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Volume 61 (2014): Issue 1 (December 2014)
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