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- Q2331759 subject Q7485053.
- Q2331759 subject Q8458366.
- Q2331759 subject Q8460854.
- Q2331759 subject Q8550194.
- Q2331759 subject Q8741462.
- Q2331759 subject Q8806217.
- Q2331759 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.".
- Q2331759 thumbnail Zins-Vasicek.png?width=300.
- Q2331759 wikiPageExternalLink vasicek-print.pdf.
- Q2331759 wikiPageExternalLink ZCB_Vasicek.html.
- Q2331759 wikiPageExternalLink Dervi%C5%9Fbayaz%C4%B1tthesis.pdf.
- Q2331759 wikiPageWikiLink Q1056809.
- Q2331759 wikiPageWikiLink Q1081659.
- Q2331759 wikiPageWikiLink Q1164550.
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- Q2331759 wikiPageWikiLink Q4162534.
- Q2331759 wikiPageWikiLink Q4385634.
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- Q2331759 wikiPageWikiLink Q4688953.
- Q2331759 wikiPageWikiLink Q486902.
- Q2331759 wikiPageWikiLink Q4923650.
- Q2331759 wikiPageWikiLink Q4923653.
- Q2331759 wikiPageWikiLink Q5788637.
- Q2331759 wikiPageWikiLink Q6148579.
- Q2331759 wikiPageWikiLink Q7485053.
- Q2331759 wikiPageWikiLink Q756115.
- Q2331759 wikiPageWikiLink Q756126.
- Q2331759 wikiPageWikiLink Q7617821.
- Q2331759 wikiPageWikiLink Q8027269.
- Q2331759 wikiPageWikiLink Q8458366.
- Q2331759 wikiPageWikiLink Q8460854.
- Q2331759 wikiPageWikiLink Q8550194.
- Q2331759 wikiPageWikiLink Q8741462.
- Q2331759 wikiPageWikiLink Q8806217.
- Q2331759 wikiPageWikiLink Q959606.
- Q2331759 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).".
- Q2331759 label "Vasicek model".
- Q2331759 depiction Zins-Vasicek.png.