Interest rate swaps under CIR. (Q1426797)

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Interest rate swaps under CIR.
scientific article

    Statements

    title
    Interest rate swaps under CIR. (English)
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    author
    Roland Mallier
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    Ghada Alobaidi
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    publication date
    15 March 2004
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    zbMATH Keywords
    fixed income
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    Green functions
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    mean-reverting Cox-Ingersoll-Ross model
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    vanilla swap
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    arrears swap
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    Identifiers

    zbMATH DE Number
    2057246
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