Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of Financial and Quantitative Analysis 38 (2003) 03, pp. 635-672
We empirically compare a wide range of term structure models used in the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate the type of data—interest rate or derivative price—in...