Timeline for Vasicek model and spot interest rate parametrised by reversion rate

10 events

when toggle format	what		by	license	comment
Jun 29, 2019 at 13:36	vote	accept	smartquant
S Jun 24, 2019 at 14:24	history	suggested	Mats Lind	CC BY-SA 4.0	conspicous misspelling in headline
Jun 24, 2019 at 7:20	review	Suggested edits
S Jun 24, 2019 at 14:24
Jun 23, 2019 at 16:53	answer	added	Magic is in the chain		timeline score: 0
Jun 23, 2019 at 12:10	review	Close votes
Jun 24, 2019 at 14:29
Jun 23, 2019 at 12:04	history	edited	byouness	CC BY-SA 4.0	added 3 characters in body
Jun 23, 2019 at 12:04	comment	added	byouness		If your question is how to get the exact value of $r(t)$ by integrating the Vasicek SDE, then the trick is to apply Ito's lemma to $r(t) e^{\gamma t}$ which will give you: $d \left(r(t) e^{\gamma t} \right)= e^{\gamma t} \left( r(t) \gamma dt + dr(t) \right)$. This way you get rid of the $r(t)$ term in the drift and you can integrate both sides.
Jun 23, 2019 at 11:50	history	edited	byouness	CC BY-SA 4.0	Formulas in Latex
Jun 23, 2019 at 8:40	review	First posts
Jun 24, 2019 at 5:42
Jun 23, 2019 at 8:37	history	asked	smartquant	CC BY-SA 4.0