Sep
2

## Vasicek model in binomial tree

At previous post I shared a site using R language for Vasicek estimation, as we know, Vasicek model is a term structure model describing the stochastic process of interest rates. It is a type of "one-factor model" with negative interest rate possible, despite this shortcoming, it is still applied for fixed income research and application due to its mean-reversion characteristics.

Here is another Vasicek application implemented with binomial tree in C++, the tree construction procedure is outlined in Tuckman famous book

For detail check this page http://math.nyu.edu/~atm262/spring06/ircm/vasicek/.

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Infographic: Is the Black Scholes Model Responsible for the Credit Crunch

How to Combine Long and Short Return Histories Efficiently

Nearest Correlation Matrix Code

VaR Backtesting

How to Use Bar Patterns to Spot Trade Setups

Here is another Vasicek application implemented with binomial tree in C++, the tree construction procedure is outlined in Tuckman famous book

**Fixed Income Securities**. By providing input parameters like the initial short rate, speed of mean reversion, long-run average rate and volatility, interest rate following Vasicek evolution is constructed.For detail check this page http://math.nyu.edu/~atm262/spring06/ircm/vasicek/.

**People viewing this post also viewed:**

Hot posts:

Random posts: