• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Simple interest rate model with stochastic risk premia

Mathias

C++ Certificate with Distinction
Joined
8/24/11
Messages
173
Points
278
Hi,

I am looking at implementing a stochastic risk premium in the Vasicek model (or some similar model). It is hard to find papers who does this in the Vasicek model or some modified version of it. Do you have any tips for implementation or papers that write about it?

My first approach is to try to make the market price of risk stichastic i.e. an Ornstein-Uhlenberg process and then work "backwards" but I would like to have ideas and iputs. I would be nice if there was a paper who does something similar that I could read.
 
how abt deriving bond price in Vasicek model framework or any affine- model
 
Back
Top