An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 113-146

  Jagannathan, Ravi ^a   Kaplin, Andrew ^b   Sun, Steve ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b NORTHWESTERN UNIVERSITY   (United States)

^c University Capital Strategies Group   (United States)

Author keywords

CAPS; LIBOR and swap markets; Multi factor CIR; Swaptions

Indexed keywords

ERROR ANALYSIS; MATHEMATICAL MODELS; RISK ASSESSMENT; STATISTICS;

SWAP MARKETS; SWAPTION PRICES;

ECONOMICS;

EID: 0142189434     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00105-2     Document Type: Article

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