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

Author: Jagannathan R.   Kaplin A.   Sun S.  

Publisher: Elsevier

ISSN: 0304-4076

Source: Journal of Econometrics, Vol.116, Iss.1, 2003-09, pp. : 113-146

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Abstract