Cheyette model
Channel:
Subscribers:
9,580
Published on ● Video Link: https://www.youtube.com/watch?v=rxwdlPMtHDY
0In 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.
Source: https://en.wikipedia.org/wiki/Cheyette_model
Created with WikipediaReaderReborn (c) WikipediaReader
Other Videos By WikiReader
| 2022-02-23 | Jeep Tshering Lama |
| 2022-02-23 | Star Trek: Armada |
| 2022-02-23 | Petro Mohyla Black Sea State University |
| 2022-02-23 | Constans (disambiguation) |
| 2022-02-23 | Numismatic Museum of Athens |
| 2022-02-23 | Farako |
| 2022-02-23 | Issac Luke |
| 2022-02-23 | Batom Airport |
| 2022-02-23 | Indite |
| 2022-02-23 | New Mexico State Road 522 |
| 2022-02-23 | Cheyette model |
| 2022-02-23 | 1641 in Portugal |
| 2022-02-23 | Cunégonde |
| 2022-02-23 | Padang cuisine |
| 2022-02-23 | Canton of Saint-Amour |
| 2022-02-23 | Maximilian Marcoll |
| 2022-02-23 | YouView |
| 2022-02-23 | Une ravissante idiote |
| 2022-02-23 | Varnam |
| 2022-02-23 | Giovanna Debono |
| 2022-02-23 | Salvador Aguirre |
Tags:
Finance
HeathJarrowMortonframework
ISBNidentifier
Interestrate
Markovproperty
Mathematicalfinance
Normaldistribution
Quadraticvariation