• 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