Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

Sirimon Treepongkaruna, Stephen Gray

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title = "Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach",

author = "Sirimon Treepongkaruna and Stephen Gray",

year = "2003",

doi = "10.1111/1467-629X.00090",

language = "English",

volume = "43",

pages = "211 -- 259",

journal = "Accounting & Finance",

issn = "0810-5391",

publisher = "Wiley-Blackwell",

number = "2",

}

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T1 - Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach

AU - Treepongkaruna, Sirimon

AU - Gray, Stephen

PY - 2003

Y1 - 2003

UR - http://dx.doi.org/ 10.1111/1467-629X.00090

U2 - 10.1111/1467-629X.00090

DO - 10.1111/1467-629X.00090

M3 - Article

VL - 43

SP - 211

EP - 259

JO - Accounting & Finance

JF - Accounting & Finance

SN - 0810-5391

IS - 2

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