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Research Details
An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices, Journal of Econometrics
Type
Article
Author(s)
Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun
Date Published
2003
Citations
Jagannathan, Ravi, Andrew Kaplin, and 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.
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