A case study on different one-factor Cheyette models for short maturity caplet calibration

AK Polala, B Hientzsch - arXiv preprint arXiv:2408.11257, 2024 - arxiv.org
In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in
the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets of …

A quadratic volatility Cheyette model

M Chibane, D Law - Available at SSRN 2138011, 2012 - papers.ssrn.com
In this paper we present an extension of the one factor blended Cheyette model for pricing
single currency exotics, allowing for a more adequate fit to the swaption volatility smile. We …

Explosion in the quasi-Gaussian HJM model

D Pirjol, L Zhu - Finance and Stochastics, 2018 - Springer
We study the explosion of the solutions of the SDE in the quasi-Gaussian HJM model with a
CEV-type volatility. The quasi-Gaussian HJM models are a popular approach for modeling …

Small-noise limit of the quasi-Gaussian log-normal HJM model

D Pirjol, L Zhu - Operations Research Letters, 2017 - Elsevier
Quasi-Gaussian HJM models are a popular approach for modeling the dynamics of the yield
curve. This is due to their low dimensional Markovian representation, which greatly …