The Vasicek Model [chapter]

Simona Svoboda
2004 Interest Rate Modelling  
The forecast is very complex in financial markets. The reasons for this are fluctuation of financial data, Such as Stock index and rate interest data over time. The determining a model for forecasting fluctuations, can play a significant role in investor's decision making in financial markets. In the present paper, the Vasicek model the prediction of the rate interest on year later value, on using month data from the USA rate interest year 2017 and 2018, we will discuss, for this job, the first
more » ... unknown parameters Vasicek model, as Average interest rate, Standard deviation of interest rate, and recursive mean of the model, using Euler maruyama maximum like lihood method, will be calibrate, and their values will be obtain by programming in the Maple software. And using a numerical method Euler Maruyama and computer simulation with the Maple software, for simulated data, gained averages and Standard deviations, confidence interval and their normal histogram will be the plot. Also, average of the solutions obtained from computer simulations is compared with real ones, and after analyzing and reviewing the results, performance of the Vasicek model will be measured, in interest rate value prediction. And in the end, this research is compared with internal article, and suggestions for future research will be raised.
doi:10.1057/9781403946027_1 fatcat:eczoc4qfhfajrlhi7c2boij4lm