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The Vasiček Model

In: Yield Curves and Forward Curves for Diffusion Models of Short Rates

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  • Gennady A. Medvedev

    (Belarusian State University)

Abstract

Analytical results of Chap. 2 are used to examine the yield curveYield curve and the forward curveForward curve of simple type models that admit explicit solutions. First we consider the one-factor model and then we explore a few two-factor modelsTwo-factor model . These models are compared and a numerical example based on the analysis of real data is presented.

Suggested Citation

  • Gennady A. Medvedev, 2019. "The Vasiček Model," Springer Books, in: Yield Curves and Forward Curves for Diffusion Models of Short Rates, chapter 0, pages 27-39, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-15500-1_3
    DOI: 10.1007/978-3-030-15500-1_3
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