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dc.contributor.authorBeyna, Ingoen_US
dc.contributor.authorWystup, Uween_US
dc.date.accessioned2010-12-01en_US
dc.date.accessioned2011-01-06T09:00:40Z-
dc.date.available2011-01-06T09:00:40Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/43669-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt/M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 25en_US
dc.subject.ddc330en_US
dc.subject.keywordCheyette Modelen_US
dc.subject.keywordCalibrationen_US
dc.subject.keywordOptimization without derivativesen_US
dc.subject.keywordGenetic Optimizationen_US
dc.subject.stwZinstermingeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwEvolutionärer Algorithmusen_US
dc.subject.stwTheorieen_US
dc.titleOn the calibration of the Cheyette interest rate modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn640785646en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cpqfwp:25-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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