A Comparative Study of the Vasicek and the CIR Model of the Short Rate

  • In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.

Download full text files

Export metadata

Additional Services

Search Google Scholar
Metadaten
Author:S. Zeytun, A. Gupta
URN:urn:nbn:de:hbz:386-kluedo-15465
Series (Serial Number):Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (124)
Document Type:Report
Language of publication:English
Year of Completion:2007
Year of first Publication:2007
Publishing Institution:Fraunhofer-Institut für Techno- und Wirtschaftsmathematik
Date of the Publication (Server):2008/06/18
Tag:CIR model; Vasicek model
Faculties / Organisational entities:Fraunhofer (ITWM)
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011