{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T05:39:24Z","timestamp":1791092364346,"version":"4.1.0"},"reference-count":0,"publisher":"Informa UK Limited","issue":"1","license":[{"start":{"date-parts":[[2004,1,1]],"date-time":"2004-01-01T00:00:00Z","timestamp":1072915200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2004,1,1]]},"abstract":"<jats:p>Three approaches in obtaining the closed-form solution of the Vasicek bond\npricing problem are discussed in this exposition. A derivation based solely on the distribution\nof the short rate process is reviewed. Solving the bond price partial differential\nequation (PDE) is another method. In this paper, this PDE is derived via a martingale\napproach and the bond price is determined by integrating ordinary differential equations.\nThe bond pricing problem is further considered within the Heath-Jarrow-Morton (HJM)\nframework in which the analytic solution follows directly from the short rate dynamics\nunder the forward measure.<\/jats:p>","DOI":"10.1155\/s117391260400001x","type":"journal-article","created":{"date-parts":[[2007,3,8]],"date-time":"2007-03-08T07:44:28Z","timestamp":1173339868000},"page":"1-14","source":"Crossref","is-referenced-by-count":61,"title":["Three ways to solve for bond prices in the Vasicek model"],"prefix":"10.1080","volume":"8","author":[{"given":"Rogemar S.","family":"Mamon","sequence":"first","affiliation":[{"name":"Department of Statistics, University of British Columbia Vancouver, V6T 1Z2, BC, Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"301","container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/2004\/131526.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/2004\/131526.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T14:23:17Z","timestamp":1723126997000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/2004\/131526\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,1,1]]},"references-count":0,"aliases":["10.1207\/s15327612jamd0801_1"],"journal-issue":{"issue":"1","published-print":{"date-parts":[[2004,1,1]]}},"alternative-id":["131526"],"URL":"https:\/\/doi.org\/10.1155\/s117391260400001x","relation":{},"ISSN":["1173-9126"],"issn-type":[{"value":"1173-9126","type":"print"}],"subject":[],"published":{"date-parts":[[2004,1,1]]}}}