Relevant bibliographies by topics / Vasicek short rate model

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
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Academic literature on the topic 'Vasicek short rate model'

Author: Grafiati
Published: 4 June 2021
Last updated: 4 February 2022

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Journal articles on the topic "Vasicek short rate model"

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FERGUSSON, K. "ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE." Annals of Financial Economics 12, no. 01 (March 2017): 1750005. http://dx.doi.org/10.1142/s2010495217500051.

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Vasicek's short rate model is a mean reverting model of the short rate which permits closed-form pricing formulae of zero coupon bonds and options on zero coupon bonds. This paper supplies proofs which are valid for any single factor mean reverting Gaussian short rate model having time-inhomogeneous parameters. The formulae are for the expected present value of payoffs under the real-world probability measure, known as actuarial pricing. Importantly, we give formulae for asymptotic levels of bond yields and volatilities for extended Vasicek models when suitable conditions are imposed on the model parameters.
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Inoue, Akihiko, Shingo Moriuchi, and Yusuke Nakamura. "A Vasicek-Type Short Rate Model With Memory Effect." Stochastic Analysis and Applications 33, no. 6 (October 23, 2015): 1068–82. http://dx.doi.org/10.1080/07362994.2015.1087864.

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Zhang, Xili. "Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes." Mathematical Problems in Engineering 2014 (2014): 1–12. http://dx.doi.org/10.1155/2014/540803.

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Using the Shanghai Interbank Offered Rate data of overnight, 1 week, 2 week and 1 month, this paper provides a comparative analysis of some popular one-factor short rate models, including the Merton model, the geometric Brownian model, the Vasicek model, the Cox-Ingersoll-Ross model, and the mean-reversion jump-diffusion model. The parameter estimation and the model selection of these single-factor short interest rate models are investigated. We document that the most successful model in capturing the Shanghai Interbank Offered Rate is the mean-reversion jump-diffusion model.
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Halgašová, Jana, Beáta Stehlíková, and Zuzana Bučková. "Estimating the Short Rate from the Term Structures in the Vasicek Model." Tatra Mountains Mathematical Publications 61, no. 1 (December 1, 2014): 87–103. http://dx.doi.org/10.2478/tmmp-2014-0029.

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Abstract In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model
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BRODY, DORJE C., LANE P. HUGHSTON, and DAVID M. MEIER. "LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS." International Journal of Theoretical and Applied Finance 21, no. 03 (May 2018): 1850026. http://dx.doi.org/10.1142/s0219024918500267.

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The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the Lévy–Vasicek case, avoiding issues of market incompleteness. In the Lévy–Vasicek model the short rate is taken in the real-world measure to be a mean-reverting process with a general one-dimensional Lévy driver admitting exponential moments. Expressions are obtained for the Lévy–Vasicek bond prices and interest rates, along with a formula for the return on a unit investment in the long bond, defined by [Formula: see text], where [Formula: see text] is the price at time [Formula: see text] of a [Formula: see text]-maturity discount bond. We show that the pricing kernel of a Lévy–Vasicek model is uniformly integrable if and only if the long rate of interest is strictly positive.
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Mamon, Rogemar S. "Three ways to solve for bond prices in the Vasicek model." Journal of Applied Mathematics and Decision Sciences 8, no. 1 (January 1, 2004): 1–14. http://dx.doi.org/10.1155/s117391260400001x.

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Three approaches in obtaining the closed-form solution of the Vasicek bond pricing problem are discussed in this exposition. A derivation based solely on the distribution of the short rate process is reviewed. Solving the bond price partial differential equation (PDE) is another method. In this paper, this PDE is derived via a martingale approach and the bond price is determined by integrating ordinary differential equations. The bond pricing problem is further considered within the Heath-Jarrow-Morton (HJM) framework in which the analytic solution follows directly from the short rate dynamics under the forward measure.
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FERGUSSON, K., and E. PLATEN. "APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS." Annals of Financial Economics 10, no. 02 (December 2015): 1550009. http://dx.doi.org/10.1142/s2010495215500098.

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The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three important short rate models, namely the Vasicek, Cox–Ingersoll–Ross (CIR) and 3/2 short rate models, each having a closed-form formula for the transition density function. The parameters of the three interest rate models are fitted to US cash rates and are found to be consistent with market assessments.
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Huang, Guoan, Guohe Deng, and Lihong Huang. "Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model." Journal of Applied Mathematics and Decision Sciences 2009 (June 7, 2009): 1–11. http://dx.doi.org/10.1155/2009/215163.

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The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas. Numerical results and discussions are provided.
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BALLESTRA, LUCA VINCENZO, GRAZIELLA PACELLI, and DAVIDE RADI. "A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS”." Annals of Financial Economics 11, no. 04 (December 2016): 1650018. http://dx.doi.org/10.1142/s2010495216500184.

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In a very recent and interesting paper, Fergusson and Platen (2015) investigate the applicability of the maximum likelihood (ML) method for estimating the parameters of some of the most popular stochastic models for the short interest rate. One of the main results of this paper is the analytical expression of the so-called observed Fisher information matrix for the Vasicek model at the ML point. However, in such a matrix some entries are not derived correctly and one entry is left unspecified. In the following, we provide the correct analytical expression of that matrix.
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Kaplun, A. "The Continuous-Time Ehrenfest Process in Term Structure Modelling." Journal of Applied Probability 47, no. 03 (September 2010): 693–712. http://dx.doi.org/10.1017/s0021900200007014.

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In this paper, a finite-state mean-reverting model for the short rate, based on the continuous-time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results.
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Dissertations / Theses on the topic "Vasicek short rate model"

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Bayazit, Dervis. "Yield Curve Estimation And Prediction With Vasicek Model." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/12605126/index.pdf.

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The scope of this study is to estimate the zero-coupon yield curve of tomorrow by using Vasicek yield curve model with the zero-coupon bond yield data of today. The raw data of this study is the yearly simple spot rates of the Turkish zero-coupon bonds with different maturities of each day from July 1, 1999 to March 17, 2004. We completed the missing data by using Nelson-Siegel yield curve model and we estimated tomorrow yield cuve with the discretized Vasicek yield curve model.
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Tomassini, Monia. "Pricing in stochastic-local volatility models with default." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/7043/.

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In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.
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Henningsson, Peter, and Christina Skoglund. "A framework for modeling the liquidity and interest rate risk of demand deposits." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187478.

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The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. The volume model and the deposit rate model are used to determine the liquidity and interest rate risk, which is done separately. The liquidity risk is determined by a liquidity quantile which estimates the minimum deposit volume that is expected to remain in the bank over a given time period. The interest rate risk is quantified by an arbitrage-free valuation of the demand deposit which can be used to determine the sensitivity of the net present value of the demand deposit caused by a parallel shift in the market rates. Furthermore, an immunization and a replicating portfolio are constructed and the performances of these are tested when introducing the same parallel shifts in the market rates as in the valuation of the demand deposit. The conclusion of this thesis is that the framework for the liquidity risk management that is developed gave satisfactory results and could be used by the bank if the deposit volume is estimated on representative data and a more accurate model for the short rate is used. The interest rate risk framework did however not yield as reliable results and would be more challenging to implement as a more advanced model for the deposit rate is required.
Målet med denna rapport är att utveckla ett ramverk för att bestämma likviditets-och ränterisken som är relaterad till en banks inlåningsvolym. Detta görs genom att först ta fram en modell för korträntan via kalibrering av en Vasicek modell. Därefter utvecklas, genom multipelregression, modeller för att beskriva bankens inlåningsvolym och inlåningsränta. Dessa modeller används för att kvantifiera likviditets- och ränterisken för inlånings-volymen, vilka beräknas och presenteras separat. Likviditetsrisken bestäms genom att en likviditetskvantil tas fram, vilken estimerar den minimala inlånings-volymen som förväntas kvarstå hos banken över en given tidsperiod. Ränterisken kvantifieras med en arbitragefri värdering av inlåningen och resultatet används för att bestämma känsligheten för hur nuvärdet av inlåningsvolymen påverkas av ett parallellskifte. Utöver detta bestäms en immuniseringsportfölj samt en rep-likerande portfölj och resultatet av dessa utvärderas mot hur nuvärdet förändras givet att samma parallellskifte i ränteläget som tidigare introduceras. Slutsatsen av projektet är att det framtagna ramverket för att bestämma likviditetsrisken för inlåningen gav bra resultat och skulle kunna implementeras i dagsläget av banken, förutsatt att volymmodellen estimeras på representativ data samt att en bättre modell för korträntan används. Ramverket för att bestämma ränterisken gav dock inte lika tillförlitliga resultat och är mer utmanande att implementera då en mer avancerad modell för inlåningsräntan krävs.
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Pumprová, Zuzana. "Valuation Methods of Interest Rate Options." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73665.

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The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.
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Luo, Yi. "Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2012. https://scholarsarchive.byu.edu/etd/3269.

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In this dissertation, we investigate the spread option pricing problem with stochastic interest rate. First, we will review the basic concept and theories of stochastic calculus, give an introduction of spread options and provide some examples of spread options in different markets. We will also review the market efficiency theory, arbitrage and assumptions that are commonly used in mathematical finance. In Chapter 3, we will review existing spread pricing models and term-structure models such as Vasicek Mode, and the Heath-Jarrow-Morton framework. In Chapter 4, we will use the martingale approach to derive a partial differential equation for the price of the spread option with stochastic interest rate. In Chapter 5, we will study the spread option numerically. We will conclude this dissertation with ideas for future research.
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Senturk, Huseyin. "An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609786/index.pdf.

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The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.
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Šára, Michal. "Analýza generátorů ekonomických scénářů (zejména úrokových měr)." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199059.

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The thesis is concerned with a detailed examination of the most familiar short-rate models.Furthermore,it contains some author's own derivations of formulas for prices of interest rate derivatives and some relationships between certain discretizations of these short-rate models. These formulas are then used for calibration of ceratain chosen models to the actual market data.All the calculations are performed in R using author's own functions,which are along with the other more involved derivations placed in the appendix.
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Zhang, Bing. "A new levy based short-rate model for the fixed income market and its estimation with particle filter." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3664.

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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.
Thesis research directed by: Mathematics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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He, Yuanlong. "Relationship between Firm’s PE Ratio and Earnings Growth Rate." University of Cincinnati / OhioLINK, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1336490725.

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Thorne, Terrill D. "Does the Relative Price of Non-Traded Goods Contribute to the Short-Term Volatility in the U.S./Canada Real Exchange Rate? A Stochastic Coefficient Estimation Approach." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/31159.

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This study uses a random coefficient estimation procedure to test the hypothesis that much of the volatility in the U.S./Canada real exchange rate over the time period 1971 through 1999 is due to the relative price of non-traded goods to traded goods. The model specification used in this study provides estimates of the sensitivity of movements in the U.S./Canada real exchange rate to movements in both the relative price of traded goods and the relative price of non-traded goods to traded goods in each of the two countries. I test for purchasing power parity in each of the two components of the model and address the question of volatility through the examination of the time profile of the respective coefficient estimates. The empirical results support the conclusion that the average value of the coefficient on the relative price of non-traded goods to traded goods component is smaller than that on the relative price of traded goods component. However, purchasing power parity in both components can not be rejected when the period of study is limited to 1971 through 1994. Furthermore, examination of the time profile of the random coefficients on the relative price of non-traded goods to traded goods component suggests that it is much more volatile and, therefore, quite significant in capturing the volatility in U.S./Canada real exchange rate movements. With regard to purchasing power parity in both the traded goods component and the non-traded goods to traded goods component, these results are consistent with the implications of the theory of purchasing power parity. However, they are not entirely consistent with the evidence presented in recent literature. Specifically, evidence presented in recent studies can not support perfect purchasing power parity in either traded goods or non-traded goods and leads to the conclusion that non-traded goods are much less significant, if at all, in the determination of the U.S./Canada real exchange rate. This inconsistency with recent literature is most likely a result of the fact that the random coefficient modeling technique used in this study allows the coefficients to vary over time and, thereby, enables the volatility of both components to be captured in the model. Therefore, given the apparent significance of the relative price of non-traded goods to traded goods, the volatility of this component can logically be expected to significantly contribute to the volatility in the U.S./Canada real exchange rate.
Master of Arts
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Books on the topic "Vasicek short rate model"

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Lo, Ingrid. An evaluation of MLE in a model of the nonlinear continuous-time short-term interest rate. Ottawa: Bank of Canada, 2005.

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Budiardjo, S. Combined regression-time series model for forecasting short-term interest rate of Treasury bills. 1987.

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Back, Kerry E. Term Structure Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0018.

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Bond yields and forward rates are defined. The fundamental PDE is derived. Affine term strucure models are explained, including the Vasicek model and the Cox‐Ingersoll‐Ross square root model. Gaussian affine models, completely affine models, and multifactor CIR models are explained. Quadratic models are described. The various versions of the expectations hypothesis are explained. We can fit a given yield curve by adding a deterministic function of time to an interest rate model or allowing model parameters to be time varying. Heath‐Jarrow‐Morton models are explained, and it is shown that drifts of forward rates under the risk neutral probability are determined by their volatilities.
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Berg, Andrew, Rafael Portillo, and Filiz Unsal. On the Role of Money Targets in the Monetary Policy Framework in SSA. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198785811.003.0008.

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Many low-income countries continue to describe their monetary policy framework in terms of targets on monetary aggregates. This chapter extends the New Keynesian model to provide a role for ‘M’ in the conduct of monetary policy, and examine the conditions under which some adherence to money targets is optimal. In the spirit of Poole (1970), this role is based on the incompleteness of information available to the central bank, a pervasive issue in these countries. Ex ante announcements and forecasts for money growth are consistent with a Taylor rule for the relevant short-term interest rate. Ex post, the policymaker must choose his relative adherence to interest rate and money growth targets. The chapter shows that some adherence to previously set money targets can emerge endogenously from the signal extraction problem faced by the central bank. The chapter also provides an analytical representation of the factors influencing the degree of optimal target adherence.
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Chislett, William. Spain. Oxford University Press, 2013. http://dx.doi.org/10.1093/wentk/9780199936441.001.0001.

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Spain has undergone significant transformations over the past three decades, from a dictatorship to a democracy and from a mostly local and agriculture-based economy to one of the biggest financial systems in the EU and internationally. Until 2008, it enjoyed a major influx of foreign investment and the most rapid economic growth of any of the countries in the EU, resulting in half of the new jobs created during the early days of the Union. Yet, it now faces the highest rate of unemployment in Europe and slow growth for the foreseeable future. Additionally, the country faces internal strife from the separatist Catalan region and stringent austerity measures. In Spain: What Everyone Needs to Know, veteran journalist William Chislett recounts the country's fascinating and often turbulent history, beginning with the Muslim conquest in 711 and ending with the nation's deep economic crisis, sparked by the spectacular collapse of its real estate and construction sectors. He explains how some of the ghosts of the 1936-39 Civil War were laid to rest and the country moved to democracy, and covers issues such as the devolution of power to the country's 17 regions, the creation of a welfare state, the influx of several million immigrants over a very short time span, the religious cleavage, the strengths and weaknesses of the economy and how the country can create a more sustainable economic model. What happens in Spain matters. As Chislett shows, the country is much more than bullfighting and flamenco. It is an international economic power, and its future will significantly shape that of the European Union.
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Book chapters on the topic "Vasicek short rate model"

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Svoboda, Simona. "The Vasicek Model." In Interest Rate Modelling, 3–17. London: Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946027_1.

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Medvedev, Gennady A. "The Vasiček Model." In Yield Curves and Forward Curves for Diffusion Models of Short Rates, 27–39. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-15500-1_3.

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Corcuera, José Manuel, Gergely Farkas, Wim Schoutens, and Esko Valkeila. "A Short Rate Model Using Ambit Processes." In Malliavin Calculus and Stochastic Analysis, 525–53. Boston, MA: Springer US, 2013. http://dx.doi.org/10.1007/978-1-4614-5906-4_24.

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Mansouri, S. S., M. Gachpazan, and N. Ahmady. "Improved Predictor Corrector Scheme for Solving Vasicek Interest Rate Model in Uncertain Environment." In Advances in Intelligent Systems and Computing, 873–88. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-66501-2_71.

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Demmel, Roland. "The basic stochastic macroeconomic model and the short-term interest rate dynamics." In Lecture Notes in Economics and Mathematical Systems, 73–129. Berlin, Heidelberg: Springer Berlin Heidelberg, 1999. http://dx.doi.org/10.1007/978-3-642-58595-1_3.

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Grbac, Zorana, Laura Meneghello, and Wolfgang J. Runggaldier. "Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model." In Innovations in Derivatives Markets, 191–226. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33446-2_10.

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Li, Shan, Muhammad Abubakar Tahir, Qurat Ul Ain, and Tahir Yousaf. "Modelling Short Term Interest Rate Volatility with Time Series Model A Case of Pakistani Financial Markets." In Advances in Intelligent Systems and Computing, 496–506. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21248-3_36.

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Wilson, Craig A., and Robert J. Elliott. "Stochastic Volatility or Stochastic Central Tendency: Evidence from a Hidden Markov Model of the Short-Term Interest Rate." In Hidden Markov Models in Finance, 33–53. Boston, MA: Springer US, 2014. http://dx.doi.org/10.1007/978-1-4899-7442-6_2.

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Garrett, Steven L. "Attenuation of Sound." In Understanding Acoustics, 673–98. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-44787-8_14.

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Abstract We will capitalize on our understanding of thermoviscous loss to develop an understanding of the attenuation of sound waves in fluids that are not influenced by proximity to solid surfaces. Such dissipation mechanisms are particularly important at very high frequencies and short distances (for ultrasound) or very low frequencies over geological distances (for infrasound). The Standard Linear Model of viscoelasticity introduced the nondimensional frequency, ωτR, that controlled the medium’s elastic (in-phase) and dissipative (quadrature) responses. Those response curves were “universal” in the sense that causality linked the elastic and dissipative responses through the Kramers-Kronig relations. That relaxation-time perspective is essential for attenuation of sound in media that can be characterized by one or more relaxation times related to those internal degrees of freedom that make their equation of state a function of frequency. Examples of these relaxation-time effects include the rate of collisions between different molecular species in a gas (e.g., nitrogen and water vapor in air), the pressure dependence of ionic association-dissociation of dissolved salts in sea water (e.g., MgSO4 and H3BO3), and evaporation-condensation effects when a fluid is oscillating about equilibrium with its vapor (e.g., fog droplets in air or gas bubbles in liquids).
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Björk, Tomas. "Martingale Models for the Short Rate." In Arbitrage Theory in Continuous Time, 280–95. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.003.0021.

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This chapter is devoted to an overview and analysis of the most common short rate models, such as the Vasiček, Dothan, Hull–White, and CIR models. These models are analyzed and classified from the point of view of positive short rates, normal distribution, mean reversion, and computability. In particular we present the theory of affine term structures, and discuss the inversion of the yield curve. Analytical results for bond prices and bond options are presented for all the affine models.
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Conference papers on the topic "Vasicek short rate model"

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Jiuying, Dong. "Optimal Investment Consumption Model with Vasicek Interest Rate." In 2007 Chinese Control Conference. IEEE, 2006. http://dx.doi.org/10.1109/chicc.2006.4346995.

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Meng, Meng, Shouting Chen, and Ailin Zhu. "Study on transition density function of reflected Vasicek interest rate model." In 3rd International Conference on Green Communications and Networks. Southampton, UK: WIT Press, 2014. http://dx.doi.org/10.2495/gcn130671.

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Shaohui, Zou, and Zhang Jinsuo. "The Two-Factor Evaluating Model of Coal Resources Mining Rights Based on Vasicek Interest Rate." In 2009 International Conference on Information Management, Innovation Management and Industrial Engineering. IEEE, 2009. http://dx.doi.org/10.1109/iciii.2009.475.

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Ma Jie, Wang Cuicui, and Bai Manying. "Modeling on interest rate behavior of RMB: Comparative research based on Vasicek, CIR and CKLS model." In 2008 IEEE International Conference on Automation and Logistics (ICAL). IEEE, 2008. http://dx.doi.org/10.1109/ical.2008.4636680.

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Hozman, Jiří, and Tomáš Tichý. "DG method for numerical option pricing under the merton short rate model." In THERMOPHYSICAL BASIS OF ENERGY TECHNOLOGIES (TBET 2020). AIP Publishing, 2021. http://dx.doi.org/10.1063/5.0041933.

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Gurova, S. M., M. Lazarova, and T. Gurov. "A short-term interest rate Extended Merton’s model influenced by a risk market factor." In APPLICATION OF MATHEMATICS IN TECHNICAL AND NATURAL SCIENCES: 11th International Conference for Promoting the Application of Mathematics in Technical and Natural Sciences - AMiTaNS’19. AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5130866.

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Almeida, R., E. Pueyo, J. P. Martinez, A. P. Rocha, S. Olmos, and P. Laguna. "A parametric model approach for quantification of short term QT variability uncorrelated with heart rate variability." In Computers in Cardiology, 2003. IEEE, 2003. http://dx.doi.org/10.1109/cic.2003.1291116.

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Zhao, Xiangyu, and Liangliang Ma. "Applying Rough Set Theory to Establish Artificial Neural Networks Model for Short Term Incidence Rate Forecasting." In 2nd International Conference on Computer Science and Electronics Engineering (ICCSEE 2013). Paris, France: Atlantis Press, 2013. http://dx.doi.org/10.2991/iccsee.2013.475.

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Smondrk, Maros, Mariana Benova, Zuzana Psenakova, and Jana Mydlova. "Assessment of Specific Absorption Rate in Human Torso Model Comprising of Metallic Implant Near Short-Wave Diathermy Applicator." In 2018 19th International Conference "Computational Problems of Electrical Engineering" (CPEE). IEEE, 2018. http://dx.doi.org/10.1109/cpee.2018.8506895.

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Li, Aijia, Chunyang Chen, Chao Zhang, and Yulong Li. "Characterization and Constitutive Model for Temperature and Strain-Rate Dependent Tensile Behavior of Short Carbon Fiber Reinforced PEEK Composites." In 17th Biennial International Conference on Engineering, Science, Construction, and Operations in Challenging Environments. Reston, VA: American Society of Civil Engineers, 2021. http://dx.doi.org/10.1061/9780784483381.023.

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Reports on the topic "Vasicek short rate model"

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Valencia, Oscar, Matilde Angarita, Juan Santaella, and Marcela De Castro. Do Immigrants Bring Fiscal Dividends?: The Case of Venezuelan Immigration in Colombia. Inter-American Development Bank, December 2020. http://dx.doi.org/10.18235/0002993.

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This paper analyzes the effects of recent Venezuelan immigration to Colombia on the fiscal balance, the labor market, and economic growth. For this purpose, we built a dynamic general equilibrium model with a search and matching structure in the labor market. The higher fiscal spending to address immigration negatively impacts the government's budget in the short term, which is offset by higher output, consumption, and employment level, increasing the government's revenues mainly through indirect tax collection. The effect on the labor market is different for unskilled workers--whose higher supply generates a negative effect on wages and an increase in the unemployment rate--and skilled workers, who benefit from higher wages and lower unemployment. These changes in the labor market affect the government's revenue, resulting, in the long term, in positive fiscal dividends of migration.
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Hsueh, Gary, David Czerwinski, Cristian Poliziani, Terris Becker, Alexandre Hughes, Peter Chen, and Melissa Benn. Using BEAM Software to Simulate the Introduction of On-Demand, Automated, and Electric Shuttles for Last Mile Connectivity in Santa Clara County. Mineta Transportation Institute, January 2021. http://dx.doi.org/10.31979/mti.2021.1822.

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Despite growing interest in low-speed automated shuttles, pilot deployments have only just begun in a few places in the U.S., and there is a lack of studies that estimate the impacts of a widespread deployment of automated shuttles designed to supplement existing transit networks. This project estimated the potential impacts of automated shuttles based on a deployment scenario generated for a sample geographic area: Santa Clara County, California. The project identified sample deployment markets within Santa Clara County using a GIS screening exercise; tested the mode share changes of an automated shuttle deployment scenario using BEAM, an open-source beta software developed at the Lawrence Berkeley National Laboratory to run traffic simulations with MATSim; elaborated the model outputs within the R environment; and then estimated the related impacts. The main findings have been that the BEAM software, despite still being in its beta version, was able to model a scenario with the automated shuttle service: this report illustrates the potential of the software and the lessons learned. Regarding transportation aspects, the model estimated automated shuttle use throughout the county, with a higher rate of use in the downtown San José area. The shuttles would be preferred mainly by people who had been using gasoline-powered ride hail vehicles for A-to-B trips or going to the bus stop, as well as walking trips and a few car trips directed to public transport stops. As a result, the shuttles contributed to a small decrease in emissions of air pollutants, provided a competitive solution for short trips, and increased the overall use of the public transport system. The shuttles also presented a solution for short night trips—mainly between midnight and 2 am—when there are not many options for moving between points A and B. The conclusion is that the automated shuttle service is a good solution in certain contexts and can increase public transit ridership overall.
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Mendoza, Waldo, Marco Vega, Carlos Rojas, and Yuliño Anastacio. Fiscal Rules and Public Investment: The Case of Peru, 2000-2019. Inter-American Development Bank, January 2021. http://dx.doi.org/10.18235/0003018.

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This article has three goals. First, it describes the genesis of fiscal rules in Peru and its degree of compliance. Second, it estimates the effect of fiscal rules adoption on public investment. Last, it analyzes the impact of alternative fiscal rules on public investment and public debt sustainability. Our main results are as follows. First, the implementation of fiscal rules in the year 2000 caused a 60 to 80 percent fall in public investment relative to several counterfactuals. Second, our DSGE model suggests a Structural Fiscal Rule would have increased the consumers welfare in the period 2000-2019 more than other fiscal designs. This rule reduces the procyclicality of public investment under commodity price shocks and macroeconomic volatility under world interest rate shocks. Third, a Structural Fiscal Rule has the lowest probability of exceeding the current public debt limit (30 percent of GDP), although there is a trade-off between investment-friendly rules and fiscal sustainability issues. Nevertheless, our quantitative results are limited to short spans of analysis. With a long-run perspective, we may say that fiscal rulesdespite constant modifications and recurring non-compliancehave fulfilled their original and most important goal of achieving the consolidation of public finances.
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Rahai, Hamid, and Jeremy Bonifacio. Numerical Investigations of Virus Transport Aboard a Commuter Bus. Mineta Transportation Institute, April 2021. http://dx.doi.org/10.31979/mti.2021.2048.

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The authors performed unsteady numerical simulations of virus/particle transport released from a hypothetical passenger aboard a commuter bus. The bus model was sized according to a typical city bus used to transport passengers within the city of Long Beach in California. The simulations were performed for the bus in transit and when the bus was at a bus stop opening the middle doors for 30 seconds for passenger boarding and drop off. The infected passenger was sitting in an aisle seat in the middle of the bus, releasing 1267 particles (viruses)/min. The bus ventilation system released air from two linear slots in the ceiling at 2097 cubic feet per minute (CFM) and the air was exhausted at the back of the bus. Results indicated high exposure for passengers sitting behind the infectious during the bus transit. With air exchange outside during the bus stop, particles were spread to seats in front of the infectious passenger, thus increasing the risk of infection for the passengers sitting in front of the infectious person. With higher exposure time, the risk of infection is increased. One of the most important factors in assessing infection risk of respiratory diseases is the spatial distribution of the airborne pathogens. The deposition of the particles/viruses within the human respiratory system depends on the size, shape, and weight of the virus, the morphology of the respiratory tract, as well as the subject’s breathing pattern. For the current investigation, the viruses are modeled as solid particles of fixed size. While the results provide details of particles transport within a bus along with the probable risk of infection for a short duration, however, these results should be taken as preliminary as there are other significant factors such as the virus’s survival rate, the size distribution of the virus, and the space ventilation rate and mixing that contribute to the risk of infection and have not been taken into account in this investigation.
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