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.

External links and references

• Leif B.G. Andersen, Vladimir V. Piterbarg (2010). "Chapter 13". Interest Rate Modeling in Three Volumes (1st ed. 2010 ed.). Atlantic Financial Press. ISBN 978-0-9844221-0-4. Archived from the original on 2011-02-08. Retrieved 2018-09-17. {{cite book}}: Unknown parameter |dead-url= ignored (|url-status= suggested) (help)
• Cheyette Model on Risk.net