Interest rate swaps under CIR.

DOI10.1016/S0377-0427(03)00490-4zbMath1088.91036MaRDI QIDQ1426797

Roland Mallier, Ghada Alobaidi

Publication date: 15 March 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Green functionsfixed incomearrears swapmean-reverting Cox-Ingersoll-Ross modelvanilla swap

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Pricing model of interest rate swap with a bilateral default risk ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process

Cites Work

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• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION

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