Lecture 06Brigo & Mercurio Sections 3.1–3.2.1
Vasicek Model
Beginning the modeling chapter: one-factor short-rate dynamics, risk-neutral versus objective measures, Vasicek mean reversion, affine bond pricing, bond options, and AR(1) estimation.
Lecture Video
Text Coverage
Brigo & Mercurio Sections 3.1–3.2.1
Brigo & Mercurio, Interest Rate Models, 2nd ed.