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

Author

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  • Driessen, J.J.A.G.

    (Tilburg University, School of Economics and Management)

  • Klaassen, P.
  • Melenberg, B.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Other publications TiSEM f96eb284-4de9-48c3-8371-8, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:f96eb284-4de9-48c3-8371-87eaa0675b9c
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    Cited by:

    1. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
    2. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    3. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    4. Kabir K. Dutta & David F. Babbel, 2005. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," The Journal of Business, University of Chicago Press, vol. 78(3), pages 841-870, May.
    5. Peter Weigel, 2005. "Implied Kernel Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 575-601.
    6. Longstaff, Francis A & Santa-Clara, Pedro & Schwartz, Eduardo S, 2000. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," University of California at Los Angeles, Anderson Graduate School of Management qt65f1914p, Anderson Graduate School of Management, UCLA.
    7. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.

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