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arXiv · 2509.03208

Data driven modeling of multiple interest rates with generalized Vasicek-type models

Pauliina Ilmonen·Milla Laurikkala·Kostiantyn Ralchenko·Tommi Sottinen·Lauri Viitasaari
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Abstract

The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariate or assume the noise process to be Gaussian, or both. In this article, we study a generalized multivariate Vasicek model that allows simultaneous modeling of multiple interest rates while making minimal assumptions. In the model, we only assume that the noise process has stationary increments with a suitably decaying autocovariance structure. We provide estimators for the unknown parameters and prove their consistencies. We also derive limiting distributions for each estimator and provide theoretical examples. Furthermore, the model is tested empirically with both simulated data and real data.

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Pauliina Ilmonen, Milla Laurikkala, Kostiantyn Ralchenko, Tommi Sottinen, Lauri Viitasaari. 2025-09-03. Data driven modeling of multiple interest rates with generalized Vasicek-type models. https://arxiv.org/abs/2509.03208

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