Isbn: 9786130334840 - vasicek model: vasicek model, mathematical model, mathematical finance, applied mathematics, mathematics, financial market, interest rate, short rate model, market risk (1 Ergebnisse)

Zustand: Neu. Neu neuware, importqualität, auf lager - High Quality Content by WIKIPEDIA articles! In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of 'one-factor model' as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives, and has also been adapted for credit markets, although its use in the credit market is in principle wrong, implying negative probabilities. It was introduced in 1977 by Oldrich Vasicek.…