An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

✍ Scribed by Ravi Jagannathan; Andrew Kaplin; Steve Sun

• Book ID: 108432676
• Publisher: Elsevier Science
• Year: 2003
• Tongue: English
• Weight: 365 KB
• Volume: 116
• Category: Article
• ISSN: 0304-4076
• DOI: 10.1016/s0304-4076(03)00105-2