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1-4 of 4 results for Vasicek model

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Select article: A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market

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Research article

First published 2014-12

A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market

Fatma Chakroun, Fathi Abid

Journal of Emerging Market Finance

Select article: British put option on stocks under stochastic interest rate

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Research article

First published 2017-11

British put option on stocks under stochastic interest rate

Elvira P. De Lara-Tuprio, Felipe R. Sumalpong,

Model Assisted Statistics and Applications

Select article: Bayesian Estimation of Short-Rate Models

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Research article

First published 2005-06

Bayesian Estimation of Short-Rate Models

Philip Gray

Australian Journal of Management

Select article: Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge

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Research article

First published 2018-8

Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge

Noureddine Lehdili, Arshia Givi

Risk and Decision Analysis

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