A Comparative Study of the Vasicek and the CIR Model of the Short Rate
- In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.
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| Author: | S. Zeytun, A. Gupta |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-15465 |
| Series (Serial Number): | Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (124) |
| Document Type: | Report |
| Language of publication: | English |
| Year of Completion: | 2007 |
| Year of first Publication: | 2007 |
| Publishing Institution: | Fraunhofer-Institut für Techno- und Wirtschaftsmathematik |
| Date of the Publication (Server): | 2008/06/18 |
| Tag: | CIR model; Vasicek model |
| Faculties / Organisational entities: | Fraunhofer (ITWM) |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |