Heath–Jarrow–Morton framework | Financial models | Mathematical finance

Cheyette model

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. (Wikipedia).

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Related pages

Mathematical finance | Quadratic variation | Markov property | Normal distribution | Interest rate