Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach

Victor K F Fang, Vincent Cheng Siong Lee

    Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

    2 Citations (Scopus)
    Original languageEnglish
    Title of host publicationProceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004)
    EditorsZheng Rong Yang, Richard Everson, Hujun Yin
    Place of PublicationGermany
    PublisherSpringer-Verlag London Ltd.
    Pages780 - 787
    Number of pages8
    Volume3177
    ISBN (Print)0302-9743
    DOIs
    Publication statusPublished - 2004
    EventInternational Conference on Intelligent Data Engineering and Automated Learning - Exeter United Kingdom, Berlin Germany
    Duration: 1 Jan 2004 → …

    Conference

    ConferenceInternational Conference on Intelligent Data Engineering and Automated Learning
    CityBerlin Germany
    Period1/01/04 → …

    Cite this

    Fang, V. K. F., & Lee, V. C. S. (2004). Credit risks of interest rate swaps: a comparative study of CIR and Monte Carlo simulation approach. In Z. R. Yang, R. Everson, & H. Yin (Eds.), Proceedings of the 5th International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2004) (Vol. 3177, pp. 780 - 787). Springer-Verlag London Ltd.. https://doi.org/10.1007/b99975