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dc.contributor.authorBeyna, Ingoen_US
dc.contributor.authorWystup, Uween_US
dc.description.abstractWe 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 function is determined by a model specific system of ODEs, that can be solved explicitly for arbitrary Cheyette Models. The necessary transform inversion turns out to be numerically stable as a singularity can be removed. Thus the pricing methodology is reliable and we use it for the calibration of multi-factor Cheyette Models to caps.en_US
dc.publisherFrankfurt School of Finance & Management Frankfurt/M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 28en_US
dc.subject.keywordCheyette Modelen_US
dc.subject.keywordCharacteristic Functionen_US
dc.subject.keywordFourier Transformen_US
dc.subject.keywordCalibration of Multi-Factor Modelsen_US
dc.titleCharacteristic functions in the Cheyette Interest Rate Modelen_US
dc.typeWorking Paperen_US
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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