(Answered) Describe briefly the vasicek one-factor model of interest

Statistics

Describe briefly the Vasicek one-factor model of interest rates and its key statistical properties.

In the Vasicek model, the spot rate of interest is governed by the stochastic differential equation:

drt=a ( b-rt ) dt + ? dBt

where Bt is a standard Brownian motion and a, b > 0 are constants

View complete question

Statistics and Probability, Statistics

Category:- Statistics and Probability
Reference No.:- M92523383
Price:- $10

Verified Expert

Priced at $20 Now at $10, Verified Solution

Have any Question?Write your Review or question?

Related Questions in Statistics and Probability

The length of time a person takes to decide which shoes to

The length of time a person takes to decide which shoes to purchase is normally distributed with a mean of 8.21 minutes and a standard deviation of 1.90. Find the probability that a randomly selected individual will take ...

Based on college data scores on a certain test can be seen

Based on college data, scores on a certain test can be seen as normally distributed that can show the mean of 1524 and a standard deviation of 318. What percentage of scores are greater than 1842 and if needed round to t ...

Let be a random variable with probability

Let be a random variable with probability function f ( x )=144/205 x^ 2 , where x =1,2,3,4. (a) Find the expected value of X (b) Find the expected value of Y =2 X +3

Based on the 1990 census the number of hours per day adults

Based on the 1990 census, the number of hours per day adults spend watching television is approximately normally distributed with a mean of 5 hours and a standard deviation of 1.3 hours. What proportion of the population ...

Financial management how can a financial manager use the

Financial Management How can a financial manager use the time value of money(TVM) concept to accomplish this goal?

You work as a purchasing manger at walter pharmaceuticals

You work as a purchasing manger at walter Pharmaceuticals. Yor currnet suppliers of raw materials has an average delivery time of 14 days. Another vendor approaches you and says that they can match your current vendors's ...

If a wooden car has 30 independent components that all must

If a wooden car has 30 independent components that all must function for the wooden car to operate successfully during a race, and the probability of successful operation for any single component is 0.999, what is the pr ...

Approximately once a month cars are shipped from rotterdam

Approximately once a month cars are shipped from Rotterdam, Holland to Lagos, Nigeria. The past data collection indicates that the weight of a car is normally distributed with the mean of 1,070 kg and the standard devia ...

Introduction to statistics assignment - inferential

Introduction to Statistics Assignment - Inferential Statistics Analysis and Writeup Purpose: The purpose of this assignment is to develop and carry out an inferential statistics analysis plan and write up the findings. T ...

What considerations do you need to take when considering

What considerations do you need to take when considering "time value of money"? Why is the following statement true? "A dollar today is worth more than a dollar tomorrow."

4,153,160 Questions Asked
13,132 Experts
2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Recent Questions

Ask Statistics and Probability Expert