The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Journal of Financial and Quantitative Analysis

Volumn 38, Issue 3, 2003, Pages 635-672

  Driessen, Joost ^a   Klaassen, Pieter ^b,c   Melenberg, Bertrand ^d  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b Credit Risk Modeling Department   (Netherlands)

^c VU UNIVERSITY AMSTERDAM   (Netherlands)

^d TILBURG UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0141797525     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/4126735     Document Type: Article

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