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https://hdl.handle.net/10419/44996
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Beyna, Ingo | en |
dc.contributor.author | Wystup, Uwe | en |
dc.date.accessioned | 2011-04-14 | - |
dc.date.accessioned | 2011-04-19T09:49:18Z | - |
dc.date.available | 2011-04-19T09:49:18Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/44996 | - |
dc.description.abstract | 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 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 |
dc.language.iso | eng | en |
dc.publisher | |aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aCPQF Working Paper Series |x28 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Cheyette Model | en |
dc.subject.keyword | Characteristic Function | en |
dc.subject.keyword | Fourier Transform | en |
dc.subject.keyword | Calibration of Multi-Factor Models | en |
dc.title | Characteristic functions in the Cheyette Interest Rate Model | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 656419687 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cpqfwp:28 | en |
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