Journal Article

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices

Journal of Econometrics
Author(s)

Ravi Jagannathan

Andrew Kaplin

Steve Guoqiang Sun

Date Published: 2003
Citations: Jagannathan, Ravi, Andrew Kaplin, Steve Guoqiang Sun. 2003. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. Journal of Econometrics. (1-2)113-146.