Search Results - subject:"Cheyette Model"

Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time

Beyna, Ingo; Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2012

We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette … Model, which involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that …

Persistent link: https://www.econbiz.de/10010643374

Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility

Beyna, Ingo; Chiarella, Carl; Kang, Boda - 2012

Persistent link: https://www.econbiz.de/10009632002

Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - 2011

We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...

Persistent link: https://www.econbiz.de/10010304470

Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - Frankfurt School of Finance and Management - 2011

Persistent link: https://www.econbiz.de/10009003551

On the calibration of the Cheyette interest rate model

Beyna, Ingo; Wystup, Uwe - 2010

volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …

Persistent link: https://www.econbiz.de/10010303800

On the calibration of the Cheyette interest rate model

Beyna, Ingo; Wystup, Uwe - Frankfurt School of Finance and Management - 2010

volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …

Persistent link: https://www.econbiz.de/10008784587