"Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte ..."

Victor Fang, Vincent C. S. Lee (2004)

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DOI: 10.1007/978-3-540-28651-6_116

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-26

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Victor Fang, Vincent C. S. Lee:
Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach. IDEAL 2004: 780-787

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