Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model

Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model

The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In practice, re-calibration of the model to the prevailin...

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Bibliographic Details
Main Authors: Philipp Harms, David Stefanovits, Josef Teichmann, Mario V. Wüthrich
Format: Article
Language:English
Published: MDPI AG 2016-06-01
Series:Risks
Subjects:
interest rate model
re-calibration
HJM model
Vasiček model
Hull–White extension
Online Access:http://www.mdpi.com/2227-9091/4/3/18

Internet

http://www.mdpi.com/2227-9091/4/3/18

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