An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
| Year of publication: |
2003
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|---|---|
| Authors: | Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 116.2003, 1, p. 113-146
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