Calibration of the Vasicek model of interest rates using bicriteria optimization

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Tatiana Jašurková Beáta Stehlíková


The Vasicek model of the interest rates is one of the most frequently used short rate models to describe the movements of the interest rates. For the model to work properly it has to be adequately calibrated. Based on different approaches, there are several techniques to calibrate the Vasicek model. In this paper, we combine two criteria: fitting term structures of the interest rates and comparison of the estimated short rate with its estimate from the Kalman filter, which takes probability distributions into account. Doing so, we obtain the risk-neutral parameters as well as the estimate for the short rate. The proposed algorithm is then applied to the real market data and we analyze the results.

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Jašurková, T., & Stehlíková, B. (2020). Calibration of the Vasicek model of interest rates using bicriteria optimization. Proceedings Of The Conference Algoritmy, , 211 - 220. Retrieved from


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