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Estimating the short rate from the term structures in the Vasicek model

In: Tatra Mountains Mathematical Publications, vol. 61, no. 4
Jana Halgašová - Beáta Stehlíková - Zuzana Bučková
Detaily:
Rok, strany: 2014, 87 - 104
Kľúčové slová:
short rate, term structure, Vasicek model, calibration
O článku:
In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model.
Ako citovať:
ISO 690:
Halgašová, J., Stehlíková, B., Bučková, Z. 2014. Estimating the short rate from the term structures in the Vasicek model. In Tatra Mountains Mathematical Publications, vol. 61, no.4, pp. 87-104. 1210-3195.

APA:
Halgašová, J., Stehlíková, B., Bučková, Z. (2014). Estimating the short rate from the term structures in the Vasicek model. Tatra Mountains Mathematical Publications, 61(4), 87-104. 1210-3195.