Kaplun, Alexander2009-10-202009-10-202009-10-20http://hdl.handle.net/2003/2645510.17877/DE290R-14157In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be derived in the general and the special symmetric cases. Its limiting relationship to the Vasicek model will be examined with some numerical results.enPreprints der Fakultät für Mathematik ; 2009-12Ehrenfest modelinterest rate derivativesshortrateterm structureVasicek modelzero-coupon bond610preprint