An evaluation of multi-factor CIR model using LIBOR, Swap rates, and cap and swaption prices / Ravi Jagannathan, Andrew Kaplin and Steve Sun.
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ArticleLanguage: English Subject(s):
In:
Journal of Econometrics Elsevier Science B.V Vol. 116, No. 1-2 (September-October 2003). , p. 113-146.
Holdings: Vol. 116, No. 1-2 (September-October 2003). , p. 113-146.
Notas al pie del texto.
Bibliografía : p. 146.
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