scientific article; zbMATH DE number 5284328

MaRDI QIDQ3501642zbMATH OpenFDO

Authors Yan Zhang, Xueqiao du

Publication date 3 June 2008

zbMATH Keywords

fixed ratefloating rateforward rateinterest rate swapzero-coupon bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(2)

• Interest rate swaps under CIR.
• Study of the dynamics of the interest rate swap using machine learning methods

Describes a project that uses

Uses Software

• Matlab

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