Vasicek Model

High Quality Content by WIKIPEDIA articles! 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.

Product details

• Assisted by: Lambert M. Surhone (Editor), Miriam T. Timpledon (Editor), Susan F. Marseken (Editor)
• Publisher: Betascript Publishing
• Content: Book
• Product form: Paperback / Softback
• Publication date: 07.01.2010
• Subject: Social sciences, law, business > Business > Miscellaneous
• EAN: 9786130334840
• ISBN: 978-613-0-33484-0
• Pages: 76
• Dimensions (packing): 15 x 22 x 0.4 cm
• Weight (packing): 118 g