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
Link To Document :
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