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dc.contributor.authorBeyna, Ingoen
dc.contributor.authorWystup, Uween
dc.date.accessioned2011-04-14-
dc.date.accessioned2011-04-19T09:49:18Z-
dc.date.available2011-04-19T09:49:18Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/44996-
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
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 |x28en
dc.subject.ddc330en
dc.subject.keywordCheyette Modelen
dc.subject.keywordCharacteristic Functionen
dc.subject.keywordFourier Transformen
dc.subject.keywordCalibration of Multi-Factor Modelsen
dc.titleCharacteristic functions in the Cheyette Interest Rate Model-
dc.typeWorking Paperen
dc.identifier.ppn656419687en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:28en

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