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Tatra Mountains Mathematical Publications
Volume 61 (2014): Issue 1 (December 2014)
Open Access
Estimating the Short Rate from the Term Structures in the Vasicek Model
Jana Halgašová
Jana Halgašová
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Halgašová, Jana
,
Beáta Stehlíková
Beáta Stehlíková
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Stehlíková, Beáta
and
Zuzana Bučková
Zuzana Bučková
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Bučková, Zuzana
Mar 11, 2015
Tatra Mountains Mathematical Publications
Volume 61 (2014): Issue 1 (December 2014)
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Published Online:
Mar 11, 2015
Page range:
87 - 103
Received:
Dec 03, 2012
DOI:
https://doi.org/10.2478/tmmp-2014-0029
Keywords
short rate
,
term structure
,
Vasicek model
,
calibration
© 2015
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
