Statements (30)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
interest rate model |
| gptkbp:appliesTo |
interest rates
|
| gptkbp:assumes |
mean reversion
normally distributed interest rates |
| gptkbp:category |
gptkb:stochastic_process
econometric model |
| gptkbp:describes |
evolution of interest rates
|
| gptkbp:differential |
dr = a(b - r)dt + σdW
|
| gptkbp:dynamics |
driven by Ornstein-Uhlenbeck process
|
| gptkbp:field |
finance
mathematical finance quantitative finance |
| https://www.w3.org/2000/01/rdf-schema#label |
Vasicek model
|
| gptkbp:influenced |
gptkb:Cox-Ingersoll-Ross_model
|
| gptkbp:introduced |
gptkb:Oldřich_Vašíček
|
| gptkbp:introducedIn |
1977
|
| gptkbp:limitation |
can produce negative interest rates
|
| gptkbp:parameter |
σ (volatility)
W (Wiener process) a (speed of mean reversion) b (long-term mean) r (short rate) |
| gptkbp:relatedTo |
gptkb:Hull-White_model
|
| gptkbp:type |
one-factor short-rate model
|
| gptkbp:usedFor |
derivative pricing
bond pricing |
| gptkbp:bfsParent |
gptkb:Mathematical_Finance
gptkb:Hull-White_model |
| gptkbp:bfsLayer |
7
|