Construct · 1 fields · 1 citations

Vasicek model: a standalone construct

One name. One construct. A landmark on the map.

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Vasicekmodel1 CONSTRUCTVasicek modelVASICEK · FINANCE

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Finance

equilibrium term structure model in which the short interest rate follows a mean-reverting Gaussian process.

In finance, Vasicek model refers to equilibrium term structure model in which the short interest rate follows a mean-reverting Gaussian process. This meaning comes from Vasicek (1977) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

equilibrium4 fields · 4 citationsjingle · one word, four constructsGaussian process1 fields · 3 citationsanchor · a standalone constructinterest4 fields · 5 citationsjingle · one word, four constructs

References

  1. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. https://doi.org/10.1016/0304-405x(77)90016-2

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