  We consider the problem of hedging a European interest rate contingent claim
with a portfolio of zero-coupon bonds and show that an HJM type Markovian model
driven by an infinite number of sources of randomness does not have some of the
shortcomings found in the classical finite-factor models. Indeed, under natural
conditions on the model, we find that there exists a unique hedging strategy,
and that this strategy has the desirable property that at all times it consists
of bonds with maturities that are less than or equal to the longest maturity of
the bonds underlying the claim.
