Talk:Vasicek model
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Ornstein-Ulhenbeck
editThis is just a rephrasing of the Ornstein-Ulhenbeck process. Shouldn't this article be much shorter, and simply explain that it is an application of OU to finance? ALl the maths are already in the OU article.
typical parameters
editwhat are the typical a, b, and sigma? 76.69.254.51 (talk) 01:03, 23 December 2008 (UTC)
- It depends on how they are estimated, i.e. whether they are estimated historically or calibrated by inverting option prices in the Hull White extension. Depending also on the moment the parameters can differ dramatically and take completely different ranges of values, especially for sigma and a. But as a first rule of thumb r_0 should be the current short term as set by central banks, b shouldn't be too different from a long maturity swap rate, and sigma and a are the most difficult to calibrate then. I think James and Webber and also Brigo and Mercurio in their books discuss this. Piloter (talk) 11:59, 23 December 2008 (UTC)
negative interest rate
editwhat's wrong with a negative interest rate being produced by the model? Switzerland had a negative interest rate in the past. It still made sense for people to get out of other less-attractive currencies at the time, and in effect, be charged a percentage for having their money 'minded' (like in the early days of banking) - the investors still came out better at the end of the year compared to staying in the original currency. —Preceding unsigned comment added by 193.95.153.4 (talk) 19:27, 7 July 2009 (UTC)
Constant volatility component
editThe picture attached (with German title) suggests that the stochastic element it multiplied by r also. Perhaps a better picture would be one of a process with just sigma * dW as that would be the classic Vasicek model.
Long term variance
editIn the section Details the remark about the long term variance appears two times in only slightly different words and with no addional value for the understanding. Maybe someone should rewrite this part. 193.22.0.14 (talk) 10:52, 27 May 2019 (UTC)