|
EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
CPQF Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/43669
|
| | |
| Title: | | On the calibration of the Cheyette interest rate model  |
| Authors: | | Beyna, Ingo Wystup, Uwe |
| Issue Date: | | 2010 |
| Series/Report no.: | | CPQF Working Paper Series 25 |
| Abstract: | | We investigate the robustness of existing methods to calibrate the Cheyette interest rate model to at-the-money swaption, caps and floors. Existing algorithms may fail, because they suffer from numerical instability of derivatives. Therefore, we apply derivative-free techniques and find that they stabilize the calibration. Furthermore, we identify auspicious volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the results imply an accurate market reproduction and stay robust against changes in the initial values. In contrast to existing approaches that use approximations, we apply exact semi-close-form pricing formulas. |
| Subjects: | | Cheyette Model Calibration Optimization without derivatives Genetic Optimization |
| Document Type: | | Working Paper |
| Appears in Collections: | | CPQF Working Paper Series, Frankfurt School of Finance and Management
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/43669
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|