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SOLVED: Problem 5. Vasicek model 5 pts) The Vasicek interest rate stochastic differential equation is dRt (a BR)dt + odWt; where , and are positive constants (2.5 pts) Use Ito's formula to
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Mathematics | Free Full-Text | A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
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Pricing American Interest Rate Options under the Jump-Extended Vasicek Model | Semantic Scholar
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Finding B(t) in the Vasicek model relating to the bond equation, more specifcally from the initial condition - Quantitative Finance Stack Exchange
A closed-form pricing formula for variance swaps under MRG–Vasicek model | SpringerLink
PDF) Term Structure of a Vasicek Model with a Markovian Mean Reverting Level | Rogemar Mamon - Academia.edu
Affine term structure model - Wikipedia
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