In short rate models, bond prices and term structures of interest rates are determinedby the parameters of the model and the current level of the instantaneous interest rate (socalled short rate). The instantaneous interest rate can be approximated by the marketovernight, which - however - can be influenced by speculations on the market. The aimof this paper is to propose calibration method where we consider the short rate to be avariable unobservable on the market and estimate it together with the model parametersfor the case of Vasicek model.
@article{305,
title = {Estimating the short rate from the term structures in the Vasicek model},
journal = {Tatra Mountains Mathematical Publications},
volume = {58},
year = {2014},
doi = {10.2478/tatra.v61i0.305},
language = {EN},
url = {http://dml.mathdoc.fr/item/305}
}
Halgašová, Jana; Stehlíková, Beáta; Bučková, Zuzana. Estimating the short rate from the term structures in the Vasicek model. Tatra Mountains Mathematical Publications, Tome 58 (2014) . doi : 10.2478/tatra.v61i0.305. http://gdmltest.u-ga.fr/item/305/