Title of article
Interest rate swaps under CIR
Author/Authors
Mallier، نويسنده , , Alobaidi، I. M. نويسنده , , G، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
12
From page
543
To page
554
Abstract
We consider fixed-for-floating interest rate swaps under the assumption that interest rates are given by the mean-reverting Cox–Ingersoll–Ross model. By using a Greenʹs function approach, we derive analytical expressions for the values of both a vanilla swap and an in-arrears swap.
Keywords
Fixed income , swaps , Greenיs functions
Journal title
Journal of Computational and Applied Mathematics
Serial Year
2004
Journal title
Journal of Computational and Applied Mathematics
Record number
1552493
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