articles
A multifactorial generalization of the Vasicek model: example of spot-rates with two factors
Published in
№ 6(54)
26 december 2014 year
Rubric: Models and Methods
Authors: Rusakov О., Apleev D.
Rubric: Models and Methods
Authors: Rusakov О., Apleev D.
Stochastics models of interest rates, Vasicek model, Ornstein-Uhlenbeck processes, numerical inverse Laplace transforms, multi-agent models.
The author:
Rusakov О.
Degree:
PhD in Physic & Mathematic, Associate Professor of Saint-Petersburg State University
Location:
Saint-Petersburg
