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dc.contributor.authorBeyna, Ingoen
dc.contributor.authorWystup, Uween
dc.date.accessioned2010-12-01-
dc.date.accessioned2011-01-06T09:00:40Z-
dc.date.available2011-01-06T09:00:40Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x25en
dc.subject.ddc330en
dc.subject.keywordCheyette Modelen
dc.subject.keywordCalibrationen
dc.subject.keywordOptimization without derivativesen
dc.subject.keywordGenetic Optimizationen
dc.subject.stwZinstermingeschäften
dc.subject.stwOptionspreistheorieen
dc.subject.stwEvolutionärer Algorithmusen
dc.subject.stwTheorieen
dc.titleOn the calibration of the Cheyette interest rate model-
dc.typeWorking Paperen
dc.identifier.ppn640785646en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:25en

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