VasicekModelle
The Vasicek model, also known as the Gaussian interest rate model, is a mathematical model used in financial economics to describe the evolution of interest rates. It was introduced by Oldrich Vasicek in 1977 and is one of the most fundamental models in the field of interest rate modeling. The model assumes that the instantaneous interest rate follows a stochastic differential equation (SDE) driven by a Wiener process, which is a mathematical construct representing random fluctuations.
In the Vasicek model, the interest rate is assumed to be mean-reverting. This means that the interest
The Vasicek model is widely used in the pricing of interest rate derivatives, such as bonds, swaps,
Despite these limitations, the Vasicek model remains a cornerstone in the field of interest rate modeling.