Vasicek Model: Vasicek Model, Mathematical Model, Mathematical Finance, Applied Mathematics, Mathematics, Financial Market, Interest Rate, Short Rate Model, Market Risk - Couverture souple

 
9786130334840: Vasicek Model: Vasicek Model, Mathematical Model, Mathematical Finance, Applied Mathematics, Mathematics, Financial Market, Interest Rate, Short Rate Model, Market Risk
Couverture souple
ISBN 10 : 6130334842 ISBN 13 : 9786130334840
Editeur : Betascript Publishing, 2010

Synopsis

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor model" as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives, and has also been adapted for credit markets, although its use in the credit market is in principle wrong, implying negative probabilities. It was introduced in 1977 by Oldrich Vasicek."

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Éditeur
Betascript Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
6130334842
ISBN 13 
9786130334840
Reliure
Broché
Nombre de pages
76
Éditeur
Surhone Lambert M., Timpledon Miriam T., Marseken Susan F.
Coordonnées du fabricant
non disponible
Personne responsable
non disponible