##  [Vasicek Model](/index.php/vasicek-model) 

  ##  [Vasicek Model](https://social.quantumdictionary.io/vasicek-model-0) 

  

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**Social Sciences Dictionary**

 







 

 

 

 



 

 

 

 

Definition

A one‑factor short‑rate model in which the instantaneous short rate r_t follows an Ornstein–Uhlenbeck (mean‑reverting Gaussian) diffusion dr_t = a(b − r_t) dt + σ dW_t; the model is affine, admits closed‑form expressions for zero‑coupon bond prices and yields a Gaussian distribution for future short rates, and therefore can produce negative rates.