Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period...

Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the...

This article presents the first comprehensive comparative study of alternative models for valuing interest rate options. One and two factor inversion models of the Hull/White type and one and two factor Heath/J arrow/Morton models are considered. The valuation models are assessed by different...