A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Journal of Financial and Quantitative Analysis

Volumn 38, Issue 4, 2003, Pages 847-880

  Peterson, Sandra ^a   Stapleton, Richard C ^b,c   Subrahmanyam, Marti G ^d  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF MELBOURNE   (Australia)

^d NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348223593     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/4126746     Document Type: Review

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