Cheyette model

Cheyette Model is a quasi-Gaussian quadratic volatility model of interest rates which is aiming to overcome certain limitations of the Heath-Jarrow-Morton framework.

  • 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.
  • Cheyette Model on Risk.net


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