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]
@inproceedings{FangL04:1,
title = {Credit Risks of Interest Rate Swaps: A Comparative Study of CIR and Monte Carlo Simulation Approach},
author = {Victor Fang and Vincent C. S. Lee},
year = {2004},
url = {http://springerlink.metapress.com/openurl.asp?genre=article&issn=0302-9743&volume=3177&spage=780},
tags = {C++, systematic-approach},
researchr = {https://researchr.org/publication/FangL04%3A1},
cites = {0},
citedby = {0},
pages = {780-787},
booktitle = {Intelligent Data Engineering and Automated Learning - IDEAL 2004, 5th International Conference, Exeter, UK, August 25-27, 2004, Proceedings},
editor = {Zheng Rong Yang and Richard M. Everson and Hujun Yin},
volume = {3177},
series = {Lecture Notes in Computer Science},
publisher = {Springer},
isbn = {3-540-22881-0},
}