Vasicek Model
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Beschrijving
Bol
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. 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.
Beschrijving
(2)
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. 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.
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