The Vasicek Model and Estimation of its Parameters


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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

Faculty of Science

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.

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