Describe briefly the Vasicek one-factor model of interest rates and its key statistical properties. In the Vasicek model, the spot rate of interest...

Describe briefly the Vasicek one-factor model of interest rates and its key statistical

properties.

In the Vasicek model, the spot rate of interest is governed by the stochastic

differential equation:

drt=a ( b-rt ) dt + ? dBt

where Bt is a standard Brownian motion and a, b > 0 are constants