Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/44996 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
CPQF Working Paper Series No. 28
Verlag: 
Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Cheyette Model
Characteristic Function
Fourier Transform
Calibration of Multi-Factor Models
Dokumentart: 
Working Paper

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