Vasicek model - Study guides, Class notes & Summaries
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Introduction to Stochastic Finance with Market Examples By Nicolas Privault. SOLUTIONS MANUAL (Complete Download)
- Exam (elaborations) • 348 pages • 2023
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Introduction to Stochastic Finance with Market Examples By Nicolas Privault. SOLUTIONS MANUAL Introduction. 1. Assets, Portfolios, and Arbitrage. 1.1. Portfolio Allocation and Short Selling. 1.2. Arbitrage. 1.3. Risk-Neutral Probability Measures. 1.4. Hedging of Contingent Claims. 1.5. Market Completeness. 1.6. Example: Binary Market. Exercises. 2. Discrete-Time Market Model. 2.1. Discrete-Time Compounding. 2.2. Arbitrage and Self-Financing Portfolios. 2.3. Contingent Claims. 2.4. Martingales an...
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FRM 2 Question and answers correctly solved 2024/2025
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FRM 2 Question and answers correctly solved 2024/2025 FRM 2 
 
Netting Factor - correct answer sqrt(n + n (n - 1) p) / n 
 
Ho-Lee Model - correct answer dr = lambda(t)*dt + sigma*dw 
 
Vasicek Model - correct answer dr = k*(theta - r)*dt + sigma*dw 
 
Half-life = ln(2)/k 
 
Cox-Ingersoll-Ross Model (CIR) - correct answer dr = k*(theta - r)*dt + sigma*sqrt(r)*dw 
 
Friction 1: Mortgagor and Originator - correct answer The borrower may not even be aware of the financing options availa...
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CAIA Level II Sample Exam Equation Problems Questions and Answers 100% Verified
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CAIA Level II Sample Exam Equation 
Problems Questions and Answers 100% 
Verified 
Assume that the parameters of the Vasicek model of the term structure of interest 
rates are: 
Current short-term rate: 15% 
The next period expected short-term rate: 13.5% 
The long term mean level of the short-term rate: 10% 
What is the speed of adjustment k? 
0.30 
For further discussion, see CAIA Level II Curriculum 2022, Topic 3: Models, 3.1 
Modeling Overview and Interest Rate Models: Equilibrium Fixed-Inco...
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CAIA Level II Sample Exam Equation Problems Questions and Answers 100% Verified
- Exam (elaborations) • 8 pages • 2024
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CAIA Level II Sample Exam Equation 
Problems Questions and Answers 100% 
Verified 
Assume that the parameters of the Vasicek model of the term structure of interest 
rates are: 
Current short-term rate: 15% 
The next period expected short-term rate: 13.5% 
The long term mean level of the short-term rate: 10% 
What is the speed of adjustment k? 
0.30 
For further discussion, see CAIA Level II Curriculum 2022, Topic 3: Models, 3.1 
Modeling Overview and Interest Rate Models: Equilibrium Fixed-Inco...
-
CAIA Level II Sample Exam Equation Problems Questions and Answers 100% Verified
- Exam (elaborations) • 8 pages • 2024
- Available in package deal
-
- $11.49
- + learn more
CAIA Level II Sample Exam Equation 
Problems Questions and Answers 100% 
Verified 
Assume that the parameters of the Vasicek model of the term structure of interest 
rates are: 
Current short-term rate: 15% 
The next period expected short-term rate: 13.5% 
The long term mean level of the short-term rate: 10% 
What is the speed of adjustment k? 
0.30 
For further discussion, see CAIA Level II Curriculum 2022, Topic 3: Models, 3.1 
Modeling Overview and Interest Rate Models: Equilibrium Fixed-Inco...
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FRM 2 Exam With Correct Questions And Answers 2024
- Exam (elaborations) • 18 pages • 2024
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FRM 2 Exam With Correct Questions And Answers 2024
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CFA-L2 FIXED INCOME QUESTION AND ANSWERS 100% CORRECT
- Exam (elaborations) • 44 pages • 2022
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READING 35 – THE TERM STRUCTURE AND INTEREST RATE DYNAMICS 
1 Which forward rate cannot be computed from the one-, two-, three-, and four-year 
spot rates? The rate for a: 
A one-year loan beginning in two years. 
A two-year loan beginning in two years. 
A three-year loan beginning in two years. 
1 Consider spot rates for three zero-coupon bonds: r(1) = 3%, r(2) = 4%, and r(3) = 5%. 
Which statement is correct? The forward rate for a one-year loan beginning in one 
year will be: 
A less than t...
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