The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Research output: Contribution to journalArticleScientificpeer-review

52 Citations (Scopus)
Original languageEnglish
Pages (from-to)635-672
Number of pages37
JournalJournal of Financial and Quantitative Analysis
Volume38
Issue number3
Publication statusPublished - 2003

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