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A risk minimizing strategy for portfolio immunization

Fong, H. Gifford; Vasicek, Oldrich Alfons - In: The journal of finance : the journal of the American … 39 (1984) 5, pp. 1541-1546

Persistent link: https://www.econbiz.de/10003549469

A Multidimensional Framework for Risk Analysis

Fong, Gifford; Vasicek, Oldrich A. - In: Financial analysts' journal : FAJ 53 (1997) 4, pp. 51-57

Persistent link: https://www.econbiz.de/10006313399

An equilibrium characterization of the term structure

Vasicek, Oldrich - In: Journal of Financial Economics 5 (1977) 2, pp. 177-188

Persistent link: https://www.econbiz.de/10005376773

Loan portfolio value - Using a conditional independence framework, the author derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He...

Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 15 (2002) 12, pp. 160-162

Persistent link: https://www.econbiz.de/10007034848

Commodities: Plugging into electricity - A new formalism for pricing derivatives and modelling spot price behaviour for non-storable commodities, such as electricity.

Geman, Hélyette; Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 14 (2001) 8, pp. 93-98

Persistent link: https://www.econbiz.de/10007042028

The economics of interest rates

Vasicek, Oldrich Alfons - In: Journal of financial economics 76 (2005) 2, pp. 293-308

Persistent link: https://www.econbiz.de/10006501734

The Heath, Jarrow, Morton Model

Vasicek, Oldrich Alfons - In: Economic Notes 36 (2007) 3, pp. 205-207

Equilibrium models of the term structure of interest rates, such as Vasicek (1977) and Cox et al. (1985), hereafter CIR, determine the equilibrium yield curve by modelling the dynamics of the short-term interest rate, specifying the market price of risk, and solving the resulting partial...

Persistent link: https://www.econbiz.de/10005164891

General equilibrium with heterogeneous participants and discrete consumption times

Vasicek, Oldrich Alfons - In: Journal of Financial Economics 108 (2013) 3, pp. 608-614

The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and...

Persistent link: https://www.econbiz.de/10010665558

The economics of interest rates

Vasicek, Oldrich Alfons - In: Journal of Financial Economics 76 (2005) 2, pp. 293-307

Persistent link: https://www.econbiz.de/10005362561

General equilibrium with heterogeneous participants and discrete consumption times

Vasicek, Oldrich Alfons - In: Journal of financial economics 108 (2013) 3, pp. 608-614

Persistent link: https://www.econbiz.de/10010111283