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Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach

Victor Fang, Vincent C. S. Lee. Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach. In Zheng Rong Yang, Richard M. Everson, Hujun Yin, editors, Intelligent Data Engineering and Automated Learning - IDEAL 2004, 5th International Conference, Exeter, UK, August 25-27, 2004, Proceedings. Volume 3177 of Lecture Notes in Computer Science, pages 780-787, Springer, 2004. [doi]

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Victor Fang

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Vincent C. S. Lee

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