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# Questions tagged [vasicek]

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39 views

### How to estimate the parameters of vasicek modle in R or Excel?

Thank you in advance. I use the yield to maturity of 2year, 3year, 5year and 7year japan government bond from 1989-2019 as my data (i.e. the name of my data is ...
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### Vasicek Model, zero coupon bond question [closed]

I am trying to solve questions in the Vasicek model. Can anyone help me to solve this question... In the Vasicek model with parameters $\theta = 0.08$, $k$ = 2.5, $\sigma = 0.2$, assuming to be ...
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### Vasicek Model Parameters Estimation

I'm currently trying to estimate the market price of risk (lambda) in the Vasicek Model, and am running into difficulties. Using the Excel Solver tool and the Maximum Likelihood Estimation method ...
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### Why isn't the Vasicek model arbitrage-free?

Could anyone explain why the Vasicek model isn't an arbitrage-free model? Additionally, which interest rate model is arbitrage-free and why?
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### Derive the discount bond prices of the Vasicek model by the PDE approach

The question is shown above. Anyone can help me?
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### If short rates $r(t)$ do not determine the bond prices $P(t, T)$, then what is the basis for short rate models?

The question title says it all: We know that in general, specifying the short rate $r(t)$ does not specify the bond prices $P(t, T)$. So how can a model for short rates—for example the Vasicek model—...
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### Aggregation of $\rho$ and $p$ for a vasicek model

I'm currently facing the problem of how properly (analytically) adjust the parameters of an aggregated Vasicek (2002) loss distribution so that it has the same expected loss and 99% quantile as the ...
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### What is the purpose of short rate models?

Just venturing into quantitative finance and studying short rate models (Vasicek, CIR, Hull-White etc.). Wanted to ask a very simple intuitive question. How would a practitioner use these models? I ...
728 views

### Hull-White Extension of Vasicek Model

I am reading the book Interest Rate Models by Brigo and Mercurio and try to understand the Hull White Model Extended Vasicek Model. They start off by defining the instantaneous short-rate process ...
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### Term structure used in Geometric Brownian Motions under Risk Neutral Measure?

When using a GBM under a risk-neutral measure to simulate stock prices, we have to use the risk-free interest rate, but how exactly do you determine what interest rate to use? I have used the Vasicek ...
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### compute r(t) in Vasiceck model, what is $e^{at}r$

I know how to solve the exercise using the hint. But I do not understand where the hint is coming from. Is it just continous compounding? Can anybody explain $f(t,r) = e^{at}r$? What does it stand ...
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### time step choice impact in Vasicek model simulations

I am trying to make some computations using Vasicek short rate model. Especially I a trying to compare exact expectation(obtained with the formula) and the expectation from Monte Carlo simulation. ...
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### Help evaluating covariance integral when deriving vasiceks model

Im working through a solution to evaluating pricing for Vasiceks model However i dont understand the u∧t terms and how that behaves under the integrals...any help?? Cheers
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### Difference between the Basel IRB and the Vasicek formula

The well known Basel IRB formula is as follows: $$K=LGD*\left[N\left({\sqrt {\frac {1}{1-R}}}*G(PD)+{\sqrt {\frac {R}{1-R}}}*G(0.999)\right)-PD\right]$$ where the term below is the ...