A comparative study of the Vasicek and the CIR model of the short rate Article Swipe
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Vasicek model
Econometrics
Sensitivity (control systems)
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Statistics
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S. Zeytun
,
Anurag Gupta
·
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.24406/publica-fhg-293719
· OA: W2603888813
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.24406/publica-fhg-293719
· OA: W2603888813
In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.
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