Epsilon: Jurnal Matematika Murni dan Terapan
Vol 9, No 2 (2015): JURNAL EPSILON VOLUME 9 NOMOR 2

SIMULASI PERGERAKAN TINGKAT BUNGA BERDASARKAN MODEL VASICEK

Shantika Martha (Fakultas MIPA Universitas Tanjungpura)
Dadan Kusnandar (Fakultas MIPA Universitas Tanjungpura)
Naomi N. Debataraja (Fakultas MIPA Universitas Tanjungpura)

Article Info

Publish Date
11 Dec 2015

Abstract

Interest rate movements that change over time can be viewed as a stochastic process for continuous time. One model of interest rate movement for a continuous time is the Vasicek model. This study aims to describe the characteristics of interest rate movements based on the Vasicek model. In Vasicek model there are three parameters, k, θ, and σ. Based on the simulation result, it is seen that interest rate movement based on Vasicek model is mean reversion (tend to be around θ). The greater the value of k then the process of interest rate will be faster towards θ. While the greater the value of σ then the process will further deviate from θ.

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Journal Info
Epsilon: Jurnal Matematika Murni dan Terapan
Website

Abbrev

epsilon

Publisher

Universitas Lambung Mangkurat

Subject

Decision Sciences, Operations Research & Management Transportation

Description

Jurnal Matematika Murni dan Terapan Epsilon is a mathematics journal which is devoted to research articles from all fields of pure and applied mathematics including 1. Mathematical Analysis 2. Applied Mathematics 3. Algebra 4. Statistics 5. Computational ...