- Article
Diagnostic for Volatility and Local Influence Analysis for the Vasicek Model
- Manuel Galea,
- Alonso Molina and
- Isabelle S. Beaudry
The Ornstein–Uhlenbeck process is widely used in modeling biological systems and, in financial engineering, is commonly employed to describe the dynamics of interest rates, currency exchange rates, and asset price volatilities. As in any stocha...