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@inproceedings{976825, author = {Kafková, Silvie and Křivánková, Lenka}, address = {Brno}, booktitle = {Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers}, keywords = {The Vasicek model; interest rate; maximum likelihood method}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Brno}, isbn = {978-80-210-5778-4}, pages = {24-29}, publisher = {Masaryk University}, title = {The Vasicek Model and Estimation of its Parameters}, year = {2012} }
TY - JOUR ID - 976825 AU - Kafková, Silvie - Křivánková, Lenka PY - 2012 TI - The Vasicek Model and Estimation of its Parameters PB - Masaryk University CY - Brno SN - 9788021057784 KW - The Vasicek model KW - interest rate KW - maximum likelihood method N2 - This paper deals with a mathematical model of short-term interest rate, the Vasicek model. First we recall the notions of zero cupon bond and instantaneous rate, then we present the model and derivation of conditional distribution of interest rate. The final part contains an estimation of the Vasicek model parameters and describes the estimation of parameters on real data. ER -
KAFKOVÁ, Silvie a Lenka KŘIVÁNKOVÁ. The Vasicek Model and Estimation of its Parameters. In \textit{Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers}. Brno: Masaryk University, 2012, s.~24-29. ISBN~978-80-210-5778-4.
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