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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.

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Author:S. Zeytun, A. Gupta
URN (permanent link):urn:nbn:de:hbz:386-kluedo-15465
Serie (Series 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 Publication:2007
Publishing Institute: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