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Corpus ID: 261809873

@inproceedings{PrtzelWolters2007ACS, title={A Comparative Study of the Vasicek and the CIR Model of the Short Rate}, author={Dr. Dieter Pr{\"a}tzel-Wolters and Institutsleiter Kaiserslautern and im Juni and Serkan Zeytun and Ankit Gupta and S. A H. W. Hamacher and Tjandra and 25. J. Kuhnert and S. Tiwari and H T. G{\"o}tz and D Rave and K Reinel-Bitzer and H Steiner and Tiemeier and A. Zemitis and K I. Ginzburg and Steiner and Bingham Fluids and 30. J. Kuhnert and . M. Krekel and 33. J. Ohser and W. Nagel and Katja Schladitz and . M. G{\"u}nther and Axel Klar and Thorsten Materne and R. Wegener and 36. S. Feldmann and P. Lang and J K. Koch and K Ohser and Schladitz and R. Korn Elementare and Finanzmathematik and 41. J. Linn and T T. Halfmann and Wichmann and P P. Dom{\'i}nguez-Mar{\'i}n and N Hansen and S Mladenovi ´c and Nickel and P N. Boland and S Dom{\'i}nguez-Mar{\'i}n and J Nickel and Puerto and O W. D{\"o}rfler and D Iliev and D. Stoyanov and Vassileva and Stoyanov and A P. Lang and Alex Sarishvili and Wirsen and A O. Iliev and P Mikelic and Popov and O F. Gaspar and F Iliev and Ana Isabel Ramos Lisbona and P Naumovich and Vabishchevich and 67. J. Ohser and K. Koch and M. N{\"o}the and O R. Ewing and R Iliev and Angel Lazarov and Naumovich and Multigrid Adaptive and Refinement Solver and S K. Schladitz and D Peters and A Reinel-Bitzer and J Wiegmann and Ohser and A V. Rutka and Wiegmann and Eine {\"U}bersicht and Scheduling von Baustellen and O R. Ciegis and V Iliev and K Starikovicius and A. Winterfeld and H Wiegmann and Andr{\"a} and A. Dreyer and S N. Weigel and G Weihe and Kilian Bitsch and Dre{\ss}ler and G H. Lang and M Dre{\ss}ler and Speckert and . M. Speckert and K. Dre{\ss}ler and H. Mauch and A T. G{\"o}tz and N Klar and R Marheineke and Wegener and G A. Beaudry and T Laporte and S Melo and Th and Hanne and 106. J. Franke and S. Halim and T L. Bonilla and H. Knaf and I O. Iliev and Rybak and J Rybak and Willems and I Lazarov and O. Wirjadi}, year={2007}, url={https://api.semanticscholar.org/CorpusID:261809873}}

Dr. Dieter Prätzel-Wolters, Institutsleiter Kaiserslautern, O. Wirjadi
Published 2007
Economics, Mathematics

This work analyzes two important and simple models of short rates, namely Vasicek and CIR models and gives the results for the estimation of the model parameters by using two different ways.

publica-rest.fraunhofer.de

6 Citations

Background Citations

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6 Citations

9 References

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A Comparative Study of the Vasicek and the CIR Model of the Short Rate

Dr. Dieter Prätzel-WoltersInstitutsleiter Kaiserslautern O. Wirjadi

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