Concept
Vasicek model
Related publications (8)
Conditional Synthetic Financial Time Series with Generative Adversarial Networks
The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...
2022Linear-Rational Term Structure Models
Damir Filipovic, Martin Larsson
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
Wiley2017Affine Variance Swap Curve Models
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified ...
2012On the Geometry of the Term Structure of Interest Rates
We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fr´echet spaces in particular. This approach puts new light on many ...
2004Affine Processes and Applications in Finance
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations ...
2003On Finite-Dimensional Term Structure Models
In this paper we provide the characterization of all finite-dimensional Heath-Jarrow-Morton models that admit arbitrary initial yield curves. It is well known that affine term structure models with time-dependent coef- ficients (such as the Hull-White exte ...
Princeton University2002Separable Term Structures and the Maximal Degree Problem
This paper discusses separable term structure diffusion models in an arbitrage-free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the ...
Wiley-Blackwell2002