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- Vasicek_model abstract "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, although its use in the credit market is in principle wrong, implying negative probabilities (see for example Brigo and Mercurio (2006), Section 21.1.1). It was introduced in 1977 by Oldřich Vašíček and can be also seen as a stochastic investment model.".
- Vasicek_model thumbnail Zins-Vasicek.png?width=300.
- Vasicek_model wikiPageExternalLink vasicek-print.pdf.
- Vasicek_model wikiPageExternalLink ZCB_Vasicek.html.
- Vasicek_model wikiPageExternalLink Dervi%C5%9Fbayaz%C4%B1tthesis.pdf.
- Vasicek_model wikiPageID "3427692".
- Vasicek_model wikiPageLength "7713".
- Vasicek_model wikiPageOutDegree "39".
- Vasicek_model wikiPageRevisionID "683616497".
- Vasicek_model wikiPageWikiLink Affine_term_structure_model.
- Vasicek_model wikiPageWikiLink Black–Derman–Toy_model.
- Vasicek_model wikiPageWikiLink Black–Karasinski_model.
- Vasicek_model wikiPageWikiLink Category:Finance_theories.
- Vasicek_model wikiPageWikiLink Category:Fixed_income_analysis.
- Vasicek_model wikiPageWikiLink Category:Interest_rates.
- Vasicek_model wikiPageWikiLink Category:Mathematical_finance.
- Vasicek_model wikiPageWikiLink Category:Short-rate_models.
- Vasicek_model wikiPageWikiLink Category:Stochastic_processes.
- Vasicek_model wikiPageWikiLink Common_stock.
- Vasicek_model wikiPageWikiLink Compound_interest.
- Vasicek_model wikiPageWikiLink Cox–Ingersoll–Ross_model.
- Vasicek_model wikiPageWikiLink Force_of_interest.
- Vasicek_model wikiPageWikiLink Hull–White_model.
- Vasicek_model wikiPageWikiLink Interest_rate.
- Vasicek_model wikiPageWikiLink Interest_rate_derivative.
- Vasicek_model wikiPageWikiLink Long-run.
- Vasicek_model wikiPageWikiLink Long_run_and_short_run.
- Vasicek_model wikiPageWikiLink Market_risk.
- Vasicek_model wikiPageWikiLink Mathematical_finance.
- Vasicek_model wikiPageWikiLink Mathematical_model.
- Vasicek_model wikiPageWikiLink Mean_reversion_(finance).
- Vasicek_model wikiPageWikiLink Middle_East_Technical_University.
- Vasicek_model wikiPageWikiLink Oldřich_Vašíček.
- Vasicek_model wikiPageWikiLink Ornstein–Uhlenbeck_process.
- Vasicek_model wikiPageWikiLink Prentice_Hall.
- Vasicek_model wikiPageWikiLink Short-rate_model.
- Vasicek_model wikiPageWikiLink Short_rate_model.
- Vasicek_model wikiPageWikiLink Stability_theory.
- Vasicek_model wikiPageWikiLink Standard_deviation.
- Vasicek_model wikiPageWikiLink Steady_state.
- Vasicek_model wikiPageWikiLink Stochastic_differential_equation.
- Vasicek_model wikiPageWikiLink Stochastic_investment_model.
- Vasicek_model wikiPageWikiLink Volatility_(finance).
- Vasicek_model wikiPageWikiLink Wiener_process.
- Vasicek_model wikiPageWikiLink Wisconsin_School_of_Business.
- Vasicek_model wikiPageWikiLink File:Zins-Vasicek.png.
- Vasicek_model wikiPageWikiLinkText "Vasicek model".
- Vasicek_model wikiPageWikiLinkText "Vasicek".
- Vasicek_model hasPhotoCollection Vasicek_model.
- Vasicek_model wikiPageUsesTemplate Template:Bond_market.
- Vasicek_model wikiPageUsesTemplate Template:Cite_book.
- Vasicek_model wikiPageUsesTemplate Template:Cite_journal.
- Vasicek_model wikiPageUsesTemplate Template:Reflist.
- Vasicek_model wikiPageUsesTemplate Template:Stochastic_processes.
- Vasicek_model subject Category:Finance_theories.
- Vasicek_model subject Category:Fixed_income_analysis.
- Vasicek_model subject Category:Interest_rates.
- Vasicek_model subject Category:Mathematical_finance.
- Vasicek_model subject Category:Short-rate_models.
- Vasicek_model subject Category:Stochastic_processes.
- Vasicek_model hypernym Model.
- Vasicek_model type Model.
- Vasicek_model type Person.
- Vasicek_model type Type.
- Vasicek_model type Field.
- Vasicek_model type Model.
- Vasicek_model type Occupation.
- Vasicek_model type Process.
- Vasicek_model type Theory.
- Vasicek_model type Type.
- Vasicek_model comment "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, although its use in the credit market is in principle wrong, implying negative probabilities (see for example Brigo and Mercurio (2006), Section 21.1.1).".
- Vasicek_model label "Vasicek model".
- Vasicek_model sameAs バシチェック・モデル.
- Vasicek_model sameAs m.025sqwg.
- Vasicek_model sameAs Модель_Васичека.
- Vasicek_model sameAs Vasicek-modellen.
- Vasicek_model sameAs Q2331759.
- Vasicek_model sameAs Q2331759.
- Vasicek_model wasDerivedFrom Vasicek_model?oldid=683616497.
- Vasicek_model depiction Zins-Vasicek.png.
- Vasicek_model isPrimaryTopicOf Vasicek_model.