We consider some inference problems concerning the drift parameters of multi‐factors
Vasicek model (or multivariate Ornstein–Uhlebeck process). For example, in modeling for …

Description Self-compacting concrete (SCC) was elaborated using local materials and silica
fume (SF) as admixture in 15% of cement quantity, two different Portland cements (PC) and …

European call option issued on a bond governed by a modified geometric Ornstein-
Uhlenbeck process, is investigated. Objective price of such option as a function of the mean …

This paper considers public debt management as a component of a more general problem
involving fiscal planning under uncertainty. This approach has the potential to result in a …

Bu çalışmada stokastik diferansiyel denklemlerine dayanan Vasicek ve CIR modelleri
gösterge faiz oranına uygulanarak, modellerin faiz oranı öngörü performansları incelenmiş …

Abstract [eng] This thesis undertakes a comprehensive exploration of stochastic differential
equations (SDEs), spanning diverse problem domains and addressing a variety of …

An application of path integral method to Merton and Vasicek stochastic models of interest
rate is considered. Two approaches to a path integral construction are shown. The first …

The pattern of the uncertainty of cash flows and the cost of capital associated with a project
plays a central role in determining whether and when this project would be undertaken. For …

We consider simultaneous estimation of the drift parameters of multivari-ate Ornstein-
Uhlebeck process. In this paper, we develop an improved estimation methodology for the …

In the original Vasicek model interest rates are calculated assuming that volatility remains
constant over the period of analysis. In this study, we constructed a stochastic volatility …