Index_V-Z


V-Z

Vasicek model, 3-17, 157, 160
assumptions, 4
bond price, 10-11
bond price PDE, 6, 10
bond price process, 5, 6
equilibrium economy, 3
market price of risk, 6, 8-9
mean reversion, 9
risk-neutral valuation, 6
short rate process, 4, 7, 9
term structure shapes , 11



Interest Rate Modelling
Interest Rate Modelling (Finance and Capital Markets Series)
ISBN: 1403934703
EAN: 2147483647
Year: 2004
Pages: 132

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