Cheyette model
id:
cheyette-model-219-569968
title:
Cheyette model
text:
In mathematical finance, the Cheyette Model is a quasi-Gaussian, quadratic volatility model of interest rates intended to overcome certain limitations of the Heath-Jarrow-Morton framework. By imposing a special time dependent structure on the forward rate volatility function, the Cheyette approach allows for dynamics which are Markovian, in contrast to the general HJM model.
This in turn allows the application of standard econometric valuation concepts.
brand slug:
wiki
category slug:
encyclopedia
description:
Model in mathematical finance
original url:
https://en.wikipedia.org/wiki/Cheyette_model
date created:
2014-07-02T19:43:02Z
date modified:
2024-09-13T11:09:57Z
main entity:
{"identifier":"Q18387189","url":"https://www.wikidata.org/entity/Q18387189"}
image:
fields total:
13
integrity:
15