Cholesky Decomposition for the Vasicek Interest Rate Model

International Journal of Statistics and Probability ◽

10.5539/ijsp.v2n4p22 ◽

2013 ◽

Vol 2 (4) ◽

Author(s):

Muhannad FAIZ Al-Saadony ◽

Paul Hewson ◽

Julian Stander

Keyword(s):

Interest Rate ◽

Cholesky Decomposition ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Pricing a Chained Dynamic Fund Protection Under Vasicek Interest Rate Model with Stochastic Barrier

Journal of Systems Science and Complexity ◽

10.1007/s11424-019-7400-4 ◽

2019 ◽

Vol 32 (6) ◽

pp. 1659-1674

Author(s):

Yinghui Dong ◽

Chao Xu ◽

Sang Wu

Keyword(s):

Interest Rate ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Improved Predictor Corrector Scheme for Solving Vasicek Interest Rate Model in Uncertain Environment

Advances in Intelligent Systems and Computing - Progress in Intelligent Decision Science ◽

10.1007/978-3-030-66501-2_71 ◽

2021 ◽

pp. 873-888

Author(s):

S. S. Mansouri ◽

M. Gachpazan ◽

N. Ahmady

Keyword(s):

Interest Rate ◽

Uncertain Environment ◽

Interest Rate Model ◽

Vasicek Interest Rate Model ◽

Predictor Corrector

Download Full-text

Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound

Stochastic Models ◽

10.1080/15326349.2019.1630287 ◽

2019 ◽

Vol 36 (1) ◽

pp. 1-19

Author(s):

Yutian Nie ◽

Vadim Linetsky

Keyword(s):

Interest Rate ◽

Lower Bound ◽

Zero Lower Bound ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making

Soft Computing ◽

10.1007/s00500-015-1957-1 ◽

2015 ◽

Vol 21 (10) ◽

pp. 2575-2597 ◽

Author(s):

Piotr Nowak ◽

Maciej Romaniuk

Keyword(s):

Decision Making ◽

Interest Rate ◽

Bond Pricing ◽

Fuzzy Decision Making ◽

Fuzzy Decision ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

An Empirical Study on Korean Yield Curve Driven by fBm Vasicek Interest Rate Model

Korean Journal of Financial Engineering ◽

10.35527/kfedoi.2009.8.3.002 ◽

2009 ◽

Vol 8 (3) ◽

pp. 25-46

Author(s):

joonhee Rhee ◽

이명호

Keyword(s):

Interest Rate ◽

Empirical Study ◽

Yield Curve ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Least Squares Estimators for Discretely Observed Vasicek Interest Rate Model with Small α Stable Noises

Statistics and Applications ◽

10.12677/sa.2017.65061 ◽

2017 ◽

Vol 06 (05) ◽

pp. 539-549

Author(s):

成念范

Keyword(s):

Interest Rate ◽

Least Squares ◽

Least Squares Estimators ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Study on transition density function of reflected Vasicek interest rate model

Green Communications and Networks ◽

10.2495/gcn130671 ◽

2014 ◽

Author(s):

Meng Meng ◽

Shouting Chen ◽

Ailin Zhu

Keyword(s):

Interest Rate ◽

Density Function ◽

Transition Density ◽

Transition Density Function ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model

Journal of Mathematical Finance ◽

10.4236/jmf.2014.41002 ◽

2014 ◽

Vol 04 (01) ◽

pp. 10-20 ◽

Author(s):

Ruili Hao ◽

Yonghui Liu ◽

Shoubai Wang

Keyword(s):

Interest Rate ◽

Credit Default Swap ◽

Credit Default ◽

Interest Rate Model ◽

Default Swap ◽

Vasicek Interest Rate Model

Download Full-text

Pricing and Analysis of European Chooser Option Under The Vasicek Interest Rate Model

International Journal of Theoretical and Applied Mathematics ◽

10.11648/j.ijtam.20200602.11 ◽

2020 ◽

Vol 6 (2) ◽

pp. 19

Author(s):

Yanan Yun ◽

Lingyun Gao

Keyword(s):

Interest Rate ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text

Estimation the vasicek interest rate model driven by fractional Lévy processes with application

Journal of Physics Conference Series ◽

10.1088/1742-6596/1897/1/012017 ◽

2021 ◽

Vol 1897 (1) ◽

pp. 012017

Author(s):

M F Al-Saadony ◽

W J Al-Obaidi

Keyword(s):

Interest Rate ◽

Lévy Processes ◽

Levy Processes ◽

Model Driven ◽

Interest Rate Model ◽

Vasicek Interest Rate Model

Download Full-text