<abstract xmlns="http://www.w3.org/1999/xhtml"><p> In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model</p></abstract>

In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model

Estimating the Short Rate from the Term Structures in the Vasicek Model

Department of Applied Mathematics and Statistics Faculty of Mathematics, Physics and Informatics Comenius University Mlynská dolina SK-842-48 Bratislava SLOVAKIA

Tatra Mountains Mathematical Publications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Estimating the Short Rate from the Term Structures in the Vasicek Model"}

In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the...

Estimating the Short Rate from the Term Structures in the Vasicek Model

Publié en ligne: 11 mars 2015

Pages: 87 - 103

Reçu: 03 déc. 2012

DOI: https://doi.org/10.2478/tmmp-2014-0029

Mots clés
short rate, term structure, Vasicek model, calibration

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Estimating the Short Rate from the Term Structures in the Vasicek Model

Publié en ligne: 11 mars 2015

Pages: 87 - 103

Reçu: 03 déc. 2012

DOI: https://doi.org/10.2478/tmmp-2014-0029

Mots clésshort rate, term structure, Vasicek model, calibration

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
short rate, term structure, Vasicek model, calibration