## 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.

Author: S. Zeytun, A. Gupta urn:nbn:de:hbz:386-kluedo-15465 Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (124) Report English 2007 2007 Fraunhofer-Institut für Techno- und Wirtschaftsmathematik 2008/06/18 CIR model ; Vasicek model Fraunhofer (ITWM) 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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