Vasicek model

Mathematical model of interest rates

In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements as driven by only one source of market risk.

Nº Q2331759 ★

Common · Knowledge

Vasicek model

Mathematical model of interest rates

In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements as driven by only one source of market risk.

Last price

—

Floor price

—

7-day median

—

30-day sales

0

30-day range

—

In circulation

0

Price history

Show table
Datemedian LowHighsales

Sales history

Last sale
—
30-day average
—
30-day low
—
30-day high
—
Sales 7d
0
Sales 30d
0

No sales yet.

Anonymous sales: no buyer or seller shown. Figures count player-to-player sales only.

From Wikipedia

In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate 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. It was introduced in 1977 by Oldřich Vašíček, and can be also seen as a stochastic investment model.

Text: Wikipédia, CC BY-SA 4.0. · Image: Thomas Steiner (CC BY-SA 2.5) ·

Related cards

View card

Confirmation