Describe briefly the vasicek one-factor model of interest


Describe briefly the Vasicek one-factor model of interest rates and its key statistical properties.

In the Vasicek model, the spot rate of interest is governed by the stochastic differential equation:

drt=a ( b-rt ) dt + ? dBt

where Bt is a standard Brownian motion and a, b > 0 are constants

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Basic Statistics: Describe briefly the vasicek one-factor model of interest
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